Optimizing for Sharpe Ratio in Portfolio Trader  [SOLVED]

Questions about MultiCharts and user contributed studies.
trader0311
Posts: 50
Joined: 28 Sep 2014
Has thanked: 7 times

Optimizing for Sharpe Ratio in Portfolio Trader

Postby trader0311 » 20 Dec 2017

Hi,

I would like to optimize a portfolio of strategies within Portfolio Trader. With a stand along chart, it is easy to just apply the "Optimize by Sharpe Ratio" signal to the chart/strategy to be optimized.

However, I am not sure how to do this if you are trying to optimize your entire portfolio for the sharpe fitness function. Does anyone know how to do this and where to apply the sharpe fitness functions so that it appears as a metric in the optimization reports?

Thank you!

User avatar
Anna MultiCharts
Posts: 219
Joined: 14 Jul 2017
Has thanked: 10 times
Been thanked: 57 times

Re: Optimizing for Sharpe Ratio in Portfolio Trader

Postby Anna MultiCharts » 21 Dec 2017

Hello, trader0311!

Please, provide screenshots of what you’re doing in MultiCharts and what difficulty you have with Portfolio.

trader0311
Posts: 50
Joined: 28 Sep 2014
Has thanked: 7 times

Re: Optimizing for Sharpe Ratio in Portfolio Trader

Postby trader0311 » 22 Dec 2017

I would like to perform an optimization in Portfolio Trader, with a collection of strategies and securities, and I would like to have the sharp ratio as one of my fitness functions that is calculated in the optimization report for the portfolio. Typically, when using a single chart, I would just apply the prebuilt sharpe ratio signal to the chart I am optimizing. However, there are no charts in Portfolio Trader, so how can I optimize my portfolio for sharpe ratio?

Thank you

User avatar
Anna MultiCharts
Posts: 219
Joined: 14 Jul 2017
Has thanked: 10 times
Been thanked: 57 times

Re: Optimizing for Sharpe Ratio in Portfolio Trader  [SOLVED]

Postby Anna MultiCharts » 26 Dec 2017

trader0311,

That is also possible to add Optimize by Sharpe Ratio signal for strategies in Portfolio in order to optimize it by Custom Fitness value. At the end of an optimization run there can be only 1 Custom Fitness value for all strategies in Portfolio, so if you need to calculate the total Custom Fitness value for all strategies in Portfolio, then you can transmit the values calculated individually for each strategy to a Money Management Signal (this can be done by means of Global Variables: https://www.multicharts.com/trading-sof ... _Variables) where they can be summed up and then this total value will be used for optimizing Portfolio by Sharpe Ratio.


Return to “MultiCharts”