An important element in my vision on running my personal trading business is to diversify across multiple strategies. So far I have been focusing on development, running, automating & monitoring individual trading strategies however I am turning my attention now to simulating the effect of running several strategies next to another.
Month: February 2011
Correlation of Strategies
Today’s post is a follow up of my previous post Looking at Correlation. In the first post I looked at correlation of the 7 ETFs that are used in the WTAA strategy that is one of the featured strategies of this blog. I provided Amibroker code to create a correlation table and code to create a correlation indicator.
In this post I will be exploring the correlation between the 3 strategies described in the blog: WTAA, MEOM and DVI strategy.