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I would like to be able to create custom groups of R2G's (on both sides of the comparison) and run a study of 'overlap.' This might include - a) the percent of stocks they have held in common historically and b) the percent of same trades on the same day and c) their blended rolling daily correlations (graph of this over time would be ideal). This would help me identify highly similar systems.

Ideally could specify look back length for the study.

I would also like this for strat's / live port's I run for myself that I am interested in comparing.
Results: Total score: 17, # of Votes: 5, Average: 3.4
a
 
8 (2)
b
 
9 (3)
c
0
d
0
Scores are calculated as (importance) × (# of votes), where importance ranges from 1 to 4.
Requested by: Tomyani
On date: 02/23/14
Category: Portfolio

2 comments