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Tomyani
Feature Request: R2G/Live port's - Stock overlap between models analysis

I would like to be able to create custom groups of R2G's or live ports or sims (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. I would not be able to see the actual stocks or trades. Just the overlap figures.

I would prefer to see these stats annually. Or as charts over time, to see if they may have periods of very hi overlap (i.e. times of market stress). These might be hidden by averages.

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.
View the feature request here.

"Everyone has a plan until they get punched in the face." Mike Tyson
"It's not supposed to be easy. Anyone who finds it (investing) easy, is stupid." Charlie Munger

Feb 23, 2014 10:05:31 AM       
Edit 3 times, last edit by Tomyani at Feb 23, 2014 11:03:46 AM
dwpeters
Re: Feature Request: R2G/Live port's - Stock overlap between models analysis

Just want to mention that it is possible now to create a book of several R2G strategies and review their correlation. Not as thorough as what you are asking for but may still be useful.

Feb 23, 2014 6:52:39 PM       
sevensisters
Re: Feature Request: R2G/Live port's - Stock overlap between models analysis

I agree with Tomyani that this is an important feature. In particular if one is trading different R2G models, it is important to know in advance what the possible overlap in hold positions is.

Dec 6, 2014 11:27:59 AM