Hi Eugene, Cone,

I am trying to set a priority property, where
A lowest RSI value is given a priority when my trend filter is bullish; and when
the highest RSI value is given priority when my trend filter is bearish.

The user guide example as per page 91 shows:

CODE:
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How is the minus operator being used here?
have you overloaded the operator to return the lowest RSI (for buying) in the series?
If so, does the plus operator return the highest value in the series?

Adrien

Hi Adrien,

The minus operator is simply used to invert the RSI value at the current bar with the opposite sign. Thus, when the capital isn't enough to take all signals, Wealth-Lab will prefer the signals with lowest RSI value - as opposed to its default behavior of picking the highest priority values. An example of doing the opposite thing can be found in "How to: Obtain Worst-Case Backtest Results".

Understood, thanks Eugene

In theory - would be be possible to prioritize based on a "correlation matrix "?
Prioritizing positions with lower correlation relative to open positions ?

Correlation is included in Community.Indicators, so you might want to try it.

Eugene,

If I wanted to build a correlation matrix on every entry signal to compare the correlation of the symbol I get my signal from with with each ticker in my open positions, the aim would be to 1) reject entry signals that have a high correlation with open positions 2) enable us to set priority for new positions. Would I perform something similar to this to build the matrix:

CODE:
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Does wealth lab have a built in way to perform this, I have heard of CorrelationTable 1.1, is this a WL 4 feature?

Thank you for your help,

James

James,

Re: Correlation Table 1.1 - yes, this is a WL4 include script (which logic you can analyze and rewrite for V5 - it's pretty obvious).

Essentially, your pseudocode is about making the same thing.