I am running a test on one of my accounts: Witloof2
Last weekend I put in the following
Currently my Corr is -.0049 and my mmc is -.0039
I assume the current Saturday results are for Wednesday and Thursday. (2 day lag)
Here is what the stocks did over those 2 days (the third column is the percentage change)
As you can see, my 10 long predictions averaged 2.2%, and with weights, clearly much higher. I assume a .96 is weighted higher than a .55
And my short predictions averaged up 3.6% (which is bad), but probably a bit lower given the weights (.35 having more weight than .43 on the sell side - for example)
Putting equal amounts of dollars on all 13 trades, you end up with a winning 2 days of close to 1% and probably over 1% with weighting.
My Question is 1) Am I making the correct assumptions above and 2) can I have a negative corr and mmc given these result?