Optimize 1 single strategy on several instruments

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raffaele
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Optimize 1 single strategy on several instruments

Postby raffaele » 27 Dec 2017

Dear All

sorry but I can't realize how to do this optimization: I have one single strategy (with 1 input), and I would like to optimize this strategy on 6 instruments.
The input can vary from 1 to 10 (step 1), so I have 10 simulation in total (I want the same input value for every instruments).
Unfortunately when I run optimization in Portfolio Trader, the window offer me only the opportunity to optimize the strategy as considered as it were a different strategy for each instrument. So a combination of 10 simulation for 6 instruments. This results in a catastrofic number of simulations =10^6....!!!
Where I go wrong ?
thank you
R.

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Anna MultiCharts
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Re: Optimize 1 single strategy on several instruments

Postby Anna MultiCharts » 10 Jan 2018

Hello, rafaelle!

The number of strategies in portfolio equals the number of instruments in it. When you run optimization in Portfolio all strategies are optimized together, so the total number of optimization runs in your case will be 10^6 and not 10*6.

raffaele
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Joined: 04 Jan 2012

Re: Optimize 1 single strategy on several instruments

Postby raffaele » 10 Jan 2018

Hello Anna
thank you for your kind reply.
I want to apply the same strategy with the same input on a basket of six instruments, so when I need to optmize the input my needs are very simple. Let me make an example, I want to optimize the lookback period of a moving average on a basket of six instruments, but the input must be the same for every six instruments, so if I vary the lookback period from 1 to 10 (step 1), I am interested in a total of ten simulations, that's all. I am not interested in the other simulations in which the lookback period for instrument A is 5 and the lookback period for instrument B is 6.......the lookback period for every instruments must be the same, so 1 for all instruments, 2 for all instruments and so on till to ten.
In theory this results in a poor number of simulation (10 simulations).
But if apply this in Portfolio Trader the number of simulations are what you reported 10^6, because portfolio trader "mix" (let me say) the input on the several instrument (i.e. on instrument A the period 1 and on instrument B the period 5 and so on), and this increase dramatically the number of simulations (and time to optimize). There are some shortcut to avoid this ?
Thank you
Raffaele

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Anna MultiCharts
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Re: Optimize 1 single strategy on several instruments

Postby Anna MultiCharts » 11 Jan 2018

raffaele,

I’m afraid there’s no way you can avoid this.

Zheka
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Re: Optimize 1 single strategy on several instruments

Postby Zheka » 11 Jan 2018

raffaele,

if you put one signal and multiple instruments under one strategy, PT will optimize just one set of variables, for one signal. Exactly as you want.

Where PT fails is in finding optimum values for separate strategies that would maximize a certain metric for the whole portfolio.

There is a PM for this, and this feature is highly anticipated.

@Anna,
would you please consider that PM once again. It is probably not a bug per se, but a suboptimal, brute-force way of optimizing (meshing all param combinations across the board, instead of applying some "smartness" to the process), which basically makes multi-strategy portfolio optimization totally unusable.

https://www.multicharts.com/pm/public/m ... es/MC-2362

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Anna MultiCharts
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Re: Optimize 1 single strategy on several instruments

Postby Anna MultiCharts » 23 Jan 2018

Hello, Zheka!

Our engineers have given another thought to your suggestion and they plan to implement this functionality at some point. At the moment it’s hard to tell when this will be.

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Re: Optimize 1 single strategy on several instruments

Postby Zheka » 24 Jan 2018

Thank you, Anna!

raffaele
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Re: Optimize 1 single strategy on several instruments

Postby raffaele » 24 Jan 2018

Thank You Zheka for your advice, the easier the better.........
Raffaele


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