Portfolio Symbols Correlation Window
8 replies
fiverr
8 years ago #113613
Hi there,
Is there a way to enlarge this window and also to copy and paste the numbers? I have more than 10 strategies, but there are lots of white unused space. See attached picture.
mikeyc
8 years ago #129887
On a similar note, could a heatmap show correlations so it is easier to visualize?
Something like this?
That would be a useful feature I think.
Mark Fric
8 years ago #129906
It is made colourful in the new version 4 (Beta), check it out there. It also contains many more options for computing correlation.
Mark
StrategyQuant architect
AC1962
7 years ago #136138
Hi Mark
Following on with the topic above. I would also very much like to be able to copy/paste the correlation coefficient matrix direct from QA’â„¢s ‘Portfolio Correlation’ page into Excel for further analysis. In particular I am looking to calculate an overall portfolio ‘Average’ & ‘Standard Deviation’ correlation coefficient value from QA’s matrix of correlation coefficient pair values. See attached screenshot.
To this end, and to save time, it would also be very welcome to see these ‘Average’ & ‘Standard Deviation’ values calculated within QA’â„¢s ‘Portfolio Correlation’ page, for direct use by the user. See attached screenshot.
Though I am certainly no statistician, I understand that ‘Averaging’â„¢ a set of ‘Ëœcorrelation coefficients’ requires each correlation coefficients value be first transformed (usually Fisher-Z Transformation) before calculating ‘ËœAverage’â„¢ and ‘ËœStandard Deviation’â„¢ transformed values to then be transformed back (Inverse Fisher-Z Transformation) to determine the final ‘ËœAverage’â„¢ and ‘ËœStandard Deviation’â„¢ values. See articles below:
Correlations Introductory Overview – Are Correlation Coefficients “Additive?”
Averaging correlation coefficients: Should Fisher’s z transformation be used?
A Tutorial on Correlation Coefficients
Do you see any problem adding the above suggested enhancements to the QA ‘Portfolio Correlation’ page?
Thanks
AC1962
Mark Fric
7 years ago #136229
thanks for your suggestion. There should be no problem adding export of the table to Excel.
As for more complicated formulas, I’ll look at it when we’ll be making new version of QA – what you want to achieve seems quite complicated, but we’ll see.
Mark
StrategyQuant architect
AC1962
7 years ago #136234
Hi Mark
Thanks! Export of correlation coefficient table to Excel would be great, allowing me to quickly calculate an overall Average and Standard Deviation value for my strategy portfolio.
If incorporating the overall Average and Standard Deviation values into QA is a problem, no worries. Export to Excel will work just fine.
Thanks
AC1962
AC1962
7 years ago #140814
Hi Mark
Further to our discussion above. Is there any progress in adding the function to ‘export QA correlation coefficient table to Excel’? This export function would really save me some time.
Thanks
AC1962
Mark Fric
7 years ago #140822
I’m sorry, but we are focusing on SQ4 development now, so further updates of QA are not planned until SQ4 Beta version is released
Mark
StrategyQuant architect
AC1962
7 years ago #140850
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