Hi,
Is it possible to create a correlation matrix within WL for a portfolio of instruments based on a series of closing price data, under it's own tab or worksheet, and which is automaticallly updated daily? If so, I'd certainly appreciate some feedback or guidance.
Many Thanks
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Yes, it's possible. In fact, it has already been created:
Correlation Matrix strategy by Sammy_G
It won't run during free trial as it requires two extensions to be installed, though.
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Great; thanks for the reply
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Guys
This Correlation Matrix is absolutely brilliant. Thanks Eugene, Sammy_G and Raymondo! Perfect.
Is there a similar thing showing the average annual return (geometric) and annualised standard deviation for each security over the testing period? If not, Eugene, do you know an easy way to do this? I would then, including the Correlation Matrix, have the data I need to do Mean Variance Optimisation - calculated instantly and easily.
Thanks and regards
Rod
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Rod,
You could try to replace the Correlation series in this
Strategy with your own DataSeries for the annualized average return /
std. deviation. Here's those lines that assign the values:
CODE:
Please log in to see this code.
Now it's up to you to come up with the return/SD as DataSeries.
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OK, I'll try. Gracias.
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De nada.
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