ml_portfolio Signal diversification & redundancy audit
Turns “I have 180 indicators” into “which of them actually add anything.” Convert each signal to its own return STREAM, correlate the streams, and grade how redundant vs complementary a set is — so you weight the diversifiers and prune the duplicates.
Design (host-fed): pairwise correlation needs two full series with history, so the host computes each pair’s rollingCorr and collects them into an array; this library standardizes the return-stream construction, the pair test, and the set-level diversification grade. Pure functions of what you pass; nothing repaints.
Concept credit: return-stream correlation and diversification grading are standard portfolio-construction ideas — original, dependency-free Pine v6 packaging. Educational; not financial advice.
Library "ml_portfolio"
signalReturn(longSig, shortSig, ret)
Parameters:
longSig (bool)
shortSig (bool)
ret (float)
rollingCorr(a, b, len)
Parameters:
a (float)
b (float)
len (simple int)
redundantPair(a, b, len, thr)
Parameters:
a (float)
b (float)
len (simple int)
thr (simple float)
avgAbsCorr(corrs)
Parameters:
corrs (array<float>)
diversificationScore(corrs)
Parameters:
corrs (array<float>)
Design (host-fed): pairwise correlation needs two full series with history, so the host computes each pair’s rollingCorr and collects them into an array; this library standardizes the return-stream construction, the pair test, and the set-level diversification grade. Pure functions of what you pass; nothing repaints.
Concept credit: return-stream correlation and diversification grading are standard portfolio-construction ideas — original, dependency-free Pine v6 packaging. Educational; not financial advice.
Library "ml_portfolio"
signalReturn(longSig, shortSig, ret)
Parameters:
longSig (bool)
shortSig (bool)
ret (float)
rollingCorr(a, b, len)
Parameters:
a (float)
b (float)
len (simple int)
redundantPair(a, b, len, thr)
Parameters:
a (float)
b (float)
len (simple int)
thr (simple float)
avgAbsCorr(corrs)
Parameters:
corrs (array<float>)
diversificationScore(corrs)
Parameters:
corrs (array<float>)
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.