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.
As I have gained more experience in backtesting strategies, I have come across various performance metrics. Some of them are provided in the standard AB backtest report (e.g. Calmar ratio: CAR/MaxDD), some of them I have picked up and added to by Custom Backtest logic (e.g. David Varadi’s DVR). I have noticed that I have … Read more