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Rolling Correlation

In algorithmic trading many of us use correlation strategies, I figured having a rolling correlation can tell us more about the relationship between securities over time versus just getting the overall correlation between two securities for a given time period. My code is free and open for anyone to use, it will be interesting if others can use a rolling correlation to develop better correlation strategies. I attached my source code feel free to let me know of any improvements or corrections that should be made!

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5702b364fc55bf0e1430fcce
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