I have 2 similar yet not identical strategies. The inputs, however, are identical.
In PortfolioTrader, I would like to run 2 portfolios using the differing strategies, but be able to optimize the inputs together. For example, strategy 1 might be a simple moving average crossover with 2 length inputs of 5 and 20 AND the strategy 2 might use a weighted average crossover with similar inputs.
In portfolio trader, only one strategy can be optimized at a time, so I'm looking for a way to transfer those values to the 2nd strategy.
My initial thoughts were to have inputs in the first strategy and somehow transfer the values through the optimization process to the second strategy by making the inputs variables. I don't have much knowledge of GlobalVariables or the 'PMMS' keywords used in PortfolioTrader.
Does anybody have any ideas on how to use exact inputs of the first strategy by somehow transferring them in to the second strategy (as variables) ?
I have read some of the Wiki stuff on pairs which is helpful to some extent, but I still don't have the answer.
Thanks in advance.