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QA Bug? v4.20.2

1 replies

6 years ago #116980

Today, I d/l QA and I have been using “Analyze>>>Portfolio correlation”. I started noticing discrepancies between SQ correlation and QA, so I looked at it more closely.

Using only QA, I made two separate matrices: one has 41 strategies, and the other a subset of five of those strategies. I have attached these two matrices. While some of the values are identical, many are vastly different (i.e. strats. 1299 and 1300 have values of 0.1 vs. 0.73).

File:

6 years ago #143370

I looked at this bug again today…here is another screen shot.

Notice when I hover over a cross-cell, many others (with the same correlation values) are highlighted along the diagonal. This happens on many (but not all) diagonals, and no matter what the size the grid, most of the diagonals contain the data.

What’s more, when I click on any of these values to view trades, the exact same trades are displayed.

File:

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