Strategy Quant FX Final Filters

Here is a final set of filters you can run on your algorithms to help you decide the best choice from the selection of Strategies you created in Strategy Quant.

Filters #1 – Delete Highly correlated strategies.

  • Divide the Strategies in groups of 20-30 or less.
  • Select all the strategies
  • Under the Portfolio Tab – click merge strategies.
  • Leave settings on default.
  • Under Portfolio Correlations – select month – select Compute.

Identify the Strategies in Red with a high correlation. Keep one of the strategies and base your selection on the strategy with the least amount of indicators used in the strategy or with the better Ret/DD Ratio.

Any strategy with a correlation of 0.70 ~ and above is unacceptable. Continue to remake the portfolios and delete the strategies with high correlations.

From the 9 strategies I started with I deleted 1 and I am left with 8.

Filter #2 – Test your strategies against a highly volatile period in history.

  • Set your data period January 1st, 2020 – December 31, 2020

Keep only the profitable strategies.

From the 8 Strategies I had left I chose the one with the best RR/Drawdown Ratio.

By Dave

I'm Dave, a professional trader. I help traders BUILD their own portfolio of automated trading strategies. I do not charge any fee for this. Let's build together.