Is it possible to group inputs in a Portfolio Optimization  [SOLVED]

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wilkinsw
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Is it possible to group inputs in a Portfolio Optimization

Postby wilkinsw » 11 Apr 2018

Hi,

In PT, I want to optimize 5 signals.

3 inputs each: stop, target, Time to end trading.

Stop and targets need optimizing 1-10 (1 increments) each.

But, "Time to end trading" needs optimizing 1300-2200 (100 increments) AND NOT each. I simply want to optimize 1300-2200 for all 5 signals grouped together. So if trying "1300" will be "1300" for ALL signals.

Is that possible in anyway at all?

If not tell me and I'll add it as a feature request as it would be very useful. It would be awesome to be able to link inputs across signals!

Instead of 10^15 permutations with a lot of redundant search space we could be performing 10^11 permutations with far more relevant space being searched. That's a huge difference!

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fbertram
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Re: Is it possible to group inputs in a Portfolio Optimization  [SOLVED]

Postby fbertram » 11 Apr 2018

you could actually move the input to the money-management signal. From there, you could share it with the individual signals using pmm_set_global_named_num.

Also, I find the thought of optimizing through 10^11 iterations mildly scary. I am typically trying to keep things between 100 and 1000. Is there a chance you can optimize your 3 strategies individually?


Cheers, Felix

wilkinsw
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Re: Is it possible to group inputs in a Portfolio Optimization

Postby wilkinsw » 12 Apr 2018

Great thanks!

My example was 100% fictitious Felix!


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