1 (edited by SurfingWave 2024-07-22 21:05:16)

Topic: Correlation bug?

Just recently, notice, if I set the correction value below 0.80 I get fewer strategy GBPUSD close 30 max strategies for one hour. When I increase back to 0.98 get 100s strategies. This is the explanation on help guide:

"You can see how a higher coefficient of 0.96 in Settings results in fewer strategies found. EA Studio now shows only 56 strategies as being correlated. If we change the coefficient to a lower value - 0.56 this results in more strategies (95) being found as correlated."

Re: Correlation bug?

I can give you one. Tip: disable value correlation and leave only the trading rules the same

Sometimes I have. It seems that he throws away valuable extracts

Re: Correlation bug?

gabdecsters wrote:

I can give you one. Tip: disable value correlation and leave only the trading rules the same

Sometimes I have. It seems that he throws away valuable extracts

Thanks! But that's defeat the purpose of correlation. Specially, your running 10 to 100 EA in a portfolio. I want all my strategies almost no correlation as possible. 75 to 98 percent don't correlate.
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Re: Correlation bug?

Then you can use another technique answer me please do you use indicator exit on exit only on TP and stop or use INVERSE or no stop tell me your trading style please to know if my decorrelation style will suit you

Re: Correlation bug?

It's the other way around: if you set a higher correlation value, it means less strategies will be filtered out. E.g., if you set it to 0.99, it means that any strategy that has an equity curve that is at least 99% similar to another strategy equity curve in the current collection will be filtered out. If you set it to 0.9, it means that any strategy that is at least 90% close to another strategies equity curve will be filtered out. So the lower you set it, the MORE strategies will be filtered out.

Re: Correlation bug?

Hello,

I would like to better understand the correlation function.
In the following example, there are two strategies with correlated balance lines:

https://i.postimg.cc/44q2LPvD/corr.jpg

Anyway, the differences between them are visible, so why are they still correlated?



I would also like to know in a bigger strategies collection, how to determine which strategy is correlated with the one highlighted in red.

Thank you in advance!

Re: Correlation bug?

Eu sempre faço essa seleção manual por esse motivo kkkk

Re: Correlation bug?

Mentosan, it is a good question. Thank you!

When the Generator pushes a strategy to the Collection, it calculates the Correlation coefficient of the new strategy against all available strategies.

The Correlation coefficient is between -1 and 1. Where -1 means the opposite direction of the lines, and 1 means equal lines.

Two strategies always have a correlation coefficient calculated. The Correlation analysis in EA Studio compares the correlation coefficient with a threshold.

The default value of the threshold is 0.98, as in your example.
It means that EA Studio will mark two strategies as correlated if the correlation coefficient of the two strategies is higher or equal to 0.98.

The program marks the strategy sorted below for removal.  The strategies are usually sorted by profit, as shown in your example. EA Studio marks the one with the lower profit for removal.

You correctly noted that the two balance lines are different. However, their Correlation coefficient is higher or equal to 0.98.

If you want to accept such-looking strategies, you can increase the threshold. You may try with 0.99.

When I created the Correlation Analysis function of EA Studio, I found that 0.98 is a good compromise and works in most cases.

EA Studio also provides the Manual mode, as in your example. An experienced trader may decide what to do in such a case.

Re: Correlation bug?

Thank you for your detailed explanation! It’s great to hear about the thought process behind the Correlation Analysis function in EA Studio. The 0.98 threshold makes sense as a balanced approach, and having the flexibility to adjust it or use Manual mode is a valuable feature for experienced traders.

Your insights are much appreciated!