Portfolio Strategy optimization of each contract

Hi,
this is my first post, I am new to Multicharts after using NT for almost 10 years. I am enthusistic about MC and disappointed I did not change earlier. The only thing I did not find the way to do with MC as well is the following: I'd like to run an optimization on a list of contracts, getting the best set of optimized parameters for each contract. In portfolio optimization the output is the best parameters set that fits to the mix of all contracts of the portfolio, not a list of parameter sets that are the best for each contract using that strategy. Is this possible, eventually also not with Portfolio Trader but in a different way?
Thank you in advance for your reply.
Best regards
Martin

Hello Martinc,

I am afraid there are only two ways to run the Optimization: from chart (for 1 contract) and from Portfolio (mix of contracts).
Currently, it is not possible optimize a strategy on a number of symbols and get separate results for each one.

You can submit a new feature request:
https://www.multicharts.com/pm/public/m ... ssues/find

The only thing I did not find the way to do with MC as well is the following: I'd like to run an optimization on a list of contracts, getting the best set of optimized parameters for each contract. In portfolio optimization the output is the best parameters set that fits to the mix of all contracts of the portfolio, not a list of parameter sets that are the best for each contract using that strategy. Is this possible, eventually also not with Portfolio Trader but in a different way?

It depends on how many contracts you have, but you can also create a variable for each contract:

* LengthA for contract A,
* LengthB for contract B,
and so on.

By doing this for every optimisable input of the strategy, and to adjust the strategy's code so that contract B computes with the *B inputs, you can perform a portfolio optimisation for several contracts, but still get 'personalised inputs' for each.

I'd personally prefer this approach even though it's considerably more work then performing several single-chart optimisations. That's because by still optimising on a portfolio level, you can also see what trading the different contracts during the same time periods would do for performance -- which is something that's hidden from our view when doing a single-chart optimisation.

Hope this helps.