I’ve published a query in C2 Explorer called “Portfolio Analysis” that helps you analyze a portfolio of systems. It graphs the combined ROC and gives you the portfolio Sharpe ratio among other pieces of information. I’m planning to add the Sortino ratio as well, but let me know if you’d like to see anything else in the query.
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Cool - can I use this to build a portfolio of uncorrelated strategies?
It should be helpful towards that end. You can evaluate a portfolio and see how well different combinations of systems fit together. FYI the correlation table at the bottom is not new, but rather it’s a standard command that C2 added recently. I just added it because it seemed relevant. The portfolio Sortino ratio has also now been added.
Excellent job! THX!!!
can you build one like the portfolio builder page. they only allow 5 systems at one time. I would like to put in up to 20 systems and build 1 chart and allow user to input starting value.
