Gamestudio Links
Zorro Links
Newest Posts
'AssetFrameZone' undeclared identifier
by AndrewAMD. 12/09/22 13:40
How to combile shader FX?
by NicolaB. 12/08/22 08:18
Function refresh?
by Quad. 12/07/22 20:56
AUM Magazine
Latest Screens
DEAD TASTE
Tactics of World War I
Hecknex World
Scheherazade's Journey
Who's Online Now
3 registered members (NexusP47, PeroPero, Grant), 627 guests, and 5 spiders.
Key: Admin, Global Mod, Mod
Newest Members
pythno, rxs, wezcam, juliastratos, DavidK
18872 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Z8, Z9 - History Length vs. Correlation #486541
09/03/22 23:36
09/03/22 23:36
Joined: Jun 2013
Posts: 1,603
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,603
Continuing Education! laugh I'll ask this question in terms of Z8 & Z9 where it applies, but presumably it also applies in other contexts.

For Assets Correlation, the desire is to have more "blue" = less Correlation.

Suppose a group of Assets A which is more "blue", less Correlated, than a different group of Assets B.

However, there is more History available for Assets B.

Does one prefer B due to the longer History and presumably therefore more reliable "blue"ness?

Or does A win since the Assets are less correlated?

Or should one restrict the B History to A's length to compare apples to apples?

Or is there some Rule of Thumb for trading off History Length vs. Correlation?

Thanks.

Re: Z8, Z9 - History Length vs. Correlation [Re: DdlV] #486699
09/19/22 13:45
09/19/22 13:45
Joined: Jul 2000
Posts: 27,916
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,916
Frankfurt
The history should be at least 4 years and the asset should have a positive return. If that is fulfilled, next criteria is correlation.

Re: Z8, Z9 - History Length vs. Correlation [Re: DdlV] #486705
09/19/22 22:12
09/19/22 22:12
Joined: Jun 2013
Posts: 1,603
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,603
Thanks jcl. Could you elaborate/explain why 4 (years) is the number? Phrased another way, why isn't 3 (years) enough?

Thanks.

Re: Z8, Z9 - History Length vs. Correlation [Re: DdlV] #486742
09/27/22 06:03
09/27/22 06:03
Joined: Jun 2013
Posts: 1,603
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,603
Hi jcl. Sorry if this is documented somewhere and I missed it. A rephrasing and a further clarification question:

- How was it determined that 4 is the number? Is it based on statistical evidence reported somewhere? Is it your "Rule of Thumb" based on experience? Some other derivation?

- How exact is the 4? I.e., today is 2022-09-27. Does that mean the Asset's history must start no later than 2018-09-27? Or does the partial 2022 not count and history should start no later than 2018-01-01? Or is it a rounding thing and History can start as late as 2019-01-01?

Thanks!

Re: Z8, Z9 - History Length vs. Correlation [Re: DdlV] #486752
09/28/22 12:20
09/28/22 12:20
Joined: Jul 2000
Posts: 27,916
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,916
Frankfurt
"Rule of thumb" probably describes it best.

Re: Z8, Z9 - History Length vs. Correlation [Re: DdlV] #486774
10/05/22 03:14
10/05/22 03:14
Joined: Jun 2013
Posts: 1,603
D
DdlV Offline OP
Serious User
DdlV  Offline OP
Serious User
D

Joined: Jun 2013
Posts: 1,603
OK. Thanks @jcl!


Moderated by  Petra 

Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1