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Subject:  Correlation: Screens instead of ETFs? Date:  8/8/2020  3:12 PM
Author:  ebbtide Number:  278635 of 283341

Just noticed something FLARAM posted in , which referred to an ETF screen he showed last September. As best I can parse, it looks for the top 3 ETFs among 12 ranked by a combination of high momentum and low correlation, each defined in a particular way (with certain conditions leading to a safe investement). The screen uses a function I hadn't seen before (tscorr) and is given by:

I'm curious if it's possible to use this approach on screens rather than ETFs. My gtr1 backtester skills are not at a point where I can make that work. I tried replacing the universe(s) of ETFs with simple screens, to no avail. Can anyone guide me, or let me know that it's not possible?

Any help appreciated!
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