Gamestudio Links
Zorro Links
Newest Posts
How is this possible ? winning percentage 100%
by MatPed
50 minutes 13 seconds ago
Next contest?
by Michael_Schwarz
Today at 10:33
Help! 1.88.6 Crashes <5 minutes after clicking Trade!
by jcl
Today at 10:28
by jcl
Today at 10:27
TA-Lib not updated
by jcl
Today at 10:24
CyberCycle Adaptive Cy
by OptimusPrime
Today at 05:26
video memory and d3d_texfree
by Superku
Yesterday at 11:17
AUM Magazine
Latest Screens
Worst Case Z
AckCon'18 - Lotter vs the World 2 - Preview Release
Evonet Beta v1.0 : Online Project Development Template
Lake scene
Who's Online
16 registered (CocaCola, kvm, MatPed, Iglarion, AndrewAMD, brax, Michael_Schwarz, Mio, 2 invisible), 454 Guests and 3 Spiders online.
Key: Admin, Global Mod, Mod
Newest Members
fandi, Deedee, avgtrader, aventador, gokhanuck
18103 Registered Users
Topic Options
Rate This Topic
#474029 - 09/09/18 13:29 inverse correlation factor
3dgamelight Online
Junior Member

Registered: 04/24/17
Posts: 59
Something to be multiplied by the Capital together with OptimalF to distribute it between correlated components.
A correlation file could be generated after the OptimalF.

#474032 - 09/09/18 14:47 Re: inverse correlation factor [Re: 3dgamelight]
MatPed Online
Senior Member

Registered: 02/28/15
Posts: 495
Loc: Milano, Italy
Nice question!

#474078 - 09/18/18 18:00 Re: inverse correlation factor [Re: MatPed]
jcl Online

Chief Engineer

Registered: 07/22/00
Posts: 26597
Loc: Frankfurt
That makes sense, but you can relatively easily do this in the script. Use the Correlation function to get a correlation matrix, then sum up for any asset its correlations to the other assets, and divide the investment by the result.


Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at)