Portfolio, how to rank the best instruments?

I am just wondering about the best method to select between a basket of instruments and trading systems the best ones in order to obtain a portfolio optimized for a predefined fit function.

Actually the best idea that comes to my mind is to use an optimization with some line of code and some inputs in order to inhibit on each run some of the instruments, and eventually keep track of the results with a file output.

Any better idea? Any better solution?

Even a 3rd party software can be an option, since at the end all comes to the selection of the best combination of equity lines...

Thanks

Hello ALC,

Please find Rank Strategy description in our Portfolio Trader Strategy Examples document: https://dl.dropboxusercontent.com/u/951 ... amples.pdf

Using the given example you can write the strategy you need.