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portfolio correlation with walked forward models

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San Diego, USA
 
Trading Experience: Intermediate
Platform: MC
Favorite Futures: All
 
Posts: 48 since Aug 2016
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portfolio correlation with walked forward models

Hi all,

How do you deal with adding a strategy to a portfolio and of course one wants to add uncorrelated or negatively correlated strategies, if you are adding a strategy with variable set by WF and which will be revised again say in 200 days. How can you estimate contribution of this strategy with changing variable to your portfolio?

Thank you.

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