Portfolio Trader Optimize For Sharpe Across Multiple Strats

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trader0311
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Portfolio Trader Optimize For Sharpe Across Multiple Strats

Postby trader0311 » 19 Jul 2016

Hi,

I have multiple strategies applied to the same security. I would like to optimize all of the strategies in different ways and I would like the optimization report to list the sharpe ratio for the entire portfolio under the various parameter values. This way, I can pick the combinations of strategies that produce the best sharpe ratio for the entire portfolio.

I am using the strategy "Optimize for Sharpe" to calculate the sharpe

Currently it does not appear that this can be done. The sharpe statistics in the optimization report appear to apply to just an individual strategy, not the entire portfolio.

Am I setting this up wrong?

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fbertram
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Re: Portfolio Trader Optimize For Sharpe Across Multiple Str

Postby fbertram » 19 Jul 2016

Hi Trader0311,

you would need to put the "Optimize for Sharpe" strategy into the money-management part of Portfolio Trader... which you unfortunately can't. But: you can basically cut & paste the code from there into your money-management signal.

You can optimize by any criterion you can think of - all you need to do is calculate it and use SetCustomFitnessValue() to let the optimizer know what your value is.


Cheers, Felix

trader0311
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Re: Portfolio Trader Optimize For Sharpe Across Multiple Str

Postby trader0311 » 20 Jul 2016

Thank you Felix, I will give that a try


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