Portfolio Software for Correlation Analysis

Discussion in 'Trading Software' started by pvTrader, Aug 23, 2006.

  1. pvTrader


    Is there a software package that can create a matrix of correlation between all stocks in a portfolio?
  2. any statistical software package or spreadsheet program can do this easily, but you have to do a little bit of programming yourself.
  3. $1,500 is a lot of money for this software

    I programmed something similar in R, but:
    - no limits to number of stocks and timeperiods
    - flexible wrt frequency (minutes, days, weeks, months etc.)
    - integrated with walk-forward-testing, so you actually observe out-of-sample portfolio behavior and can simulate trading strategies
  4. ecritt


    Regardless of how you measure correlation make sure you are familiar with the phrase "correlation breakdown". Correlations between stocks are modest and relatively stable when the stock market is rising but quickly approach +1 when the market is falling apart.

    No amount of co-movement analysis can change the realities of the stock market. Diversification is there when you don't need it and disappears when you do need it.
  5. taowave


    Traders Studio has a correlation matrix but its based on the returns from the system as opposed to price correlation.I like it as i can combine all different asset classes and seek non correlated system returns