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Past performance is no guarantee of future success. All information should be viewed as educational only

UNITED STATES Disclaimer required by Government - Commodity Futures Trading Commission informs: Futures and options trading have great potential rewards, but also great potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to buy/sell futures, shares or options on the same. No representation is being made that any account will or is likely to realise profits or losses similar to those discussed in this document. The past performance of any trading system or methodology is not necessarily indicative of future results.

CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE A RECORD OF ACTUAL PERFORMANCE, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES WERE NOT EXECUTED, THE RESULTS MAY HAVE OFFSET THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMMES IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO REALISE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL, OR IS LIKELY TO, REALISE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED WITHIN THIS SITE. IF YOU DECIDE TO INVEST REAL MONEY, ALL TRADING DECISIONS IN THE FINANCIAL MARKETS SHOULD BE YOUR OWN.

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Correlation Filter – Custom Analysis

StrategyQuantPlugins

Removes correlated strategies from your databank based on daily P&L, keeping the highest-performing variant. Essential for cleaning up results from Genetic Evolution and optimization workflows.

Especially when using Genetic Evolution and/or when using optimisation tasks in your workflow, strategies can sometimes be highly correlated, not only as a result of the build task, but because of other tasks.

This filter can be added to a Custom Project as a task at any stage in your workflow so that correlated strategies are removed.

This Custom Analysis accepts an input argument which corresponds to the correlation threshold which will be applied. When there is a correlation between two strategies higher than the threshold, the strategy with the highest fitness score of the two will be kept and the other one will not be included into the target databank.

Correlation is calculated based on daily profit and loss.

If you specify different source and target databanks, then only the uncorrelated strategies will be copied to the target databank.

If you want the analysis to remove correlated strategies from a databank, you can set the same databank as the source and target, and enable the option “Filter by results of custom analysis. If true strategies that don’t pass will be removed”.

This was inspired by the Filter by Correlation Plugin example, cf. https://strategyquant.com/doc/programming-for-sq/filter-by-correlation-plugin-example/
and noticing that in SQX discord and in the forum many were looking for this functionality (including myself).

Past performance is no guarantee of future success. All information should be viewed as educational only UNITED STATES Disclaimer required by Government - Commodity Futures Trading Commission informs: Futures and options trading have great potential rewards, but also great potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to buy/sell futures, shares or options on the same. No representation is being made that any account will or is likely to realise profits or losses similar to those discussed in this document. The past performance of any trading system or methodology is not necessarily indicative of future results. CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE A RECORD OF ACTUAL PERFORMANCE, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES WERE NOT EXECUTED, THE RESULTS MAY HAVE OFFSET THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMMES IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO REALISE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL, OR IS LIKELY TO, REALISE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED WITHIN THIS SITE. IF YOU DECIDE TO INVEST REAL MONEY, ALL TRADING DECISIONS IN THE FINANCIAL MARKETS SHOULD BE YOUR OWN.

Free

Files

Snippet-CorrelationFilterCustomAnalysis.sqm3 KBLocked

Download unlocks after purchase or with an active tier.

Details
Version	1.0.0
Published	October 19, 2026
Last updated	October 22, 2026
App	SQ
Type	Snippet
Author	Kevin
App version	145.3058
Codebase category	Custom Analysis