Some enhancement suggestions
Charts
Are there any plans to integrate a way to view the results from the portfolio trader in a chart(s)? I ask as I usually sanity check my results by stepping through the charts. It would be nice to be able to view trades in a chart for each security traded where you can filter by signal.
Optimization
The optimization results are quite limited in when optimizing in the Portfolio Trader app. Will that be expanded at some point? It is even missing basic results like profit factor, etc.
Multiple Portfolios
Ability to add multiple portfolios so you can essentially back test a portfolio of strategies each with their own set of instruments. You can kind of do this now if you code the strategy so that it is self contained, but there is no way to control the instruments that each signal is run against. For example, if I am running a mean reverting strategy against stock index futures and trend following strategy against a broad group of commodities.
Strategy Correlation
If you can get multiple portfolios in then seeing correlation between strategies would be very helpful.
Portfolio Trader - enhancements [SOLVED]
- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2957 times
Re: Portfolio Trader - enhancements [SOLVED]
Hello GTrader,Some enhancement suggestions
Charts
Are there any plans to integrate a way to view the results from the portfolio trader in a chart(s)? I ask as I usually sanity check my results by stepping through the charts. It would be nice to be able to view trades in a chart for each security traded where you can filter by signal.
This is not something that is in our to-do list at the moment.
We are going to add 2D and 3D graphs to the report window in the next version. As for the Profit Factor - this value is available for individual instrument optimization on a chart. If you have an idea how to calculate it on the Portfolio level - please let us know.Optimization
The optimization results are quite limited in when optimizing in the Portfolio Trader app. Will that be expanded at some point? It is even missing basic results like profit factor, etc.
That is possible to run multiple Portfolio Trader instances to have each set of strategies calculated with the respective PMM signals.Multiple Portfolios
Ability to add multiple portfolios so you can essentially back test a portfolio of strategies each with their own set of instruments. You can kind of do this now if you code the strategy so that it is self contained, but there is no way to control the instruments that each signal is run against. For example, if I am running a mean reverting strategy against stock index futures and trend following strategy against a broad group of commodities.
Please be more specific in your description. What type of strategy correlation are you looking for?Strategy Correlation
If you can get multiple portfolios in then seeing correlation between strategies would be very helpful.