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Open Feature request MC-1708

Can't specify slippage for each instrument within one strategy - A fundamental flaw in the portfolio optimizer

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Description

One needs to be able to specify slippage and commission at the instrument level, not the strategy level:

If I want to optimize 5 variables for my signal on a basket of 5 instruments, currently I can only apply a basket average for slippage + commission etc. Slippage does vary significantly per instrument. This will lead to highly unreliable optimization results. Optimal permutations will centre on input combinations that exploit the instruments with underestimated costs and that avoid the overestimated ones. It actually renders the portfolio optimizer virtually useless in my experience.

The solution of creating multiple strategies, each with its own instrument and own costs does not work either. This will yield 25 optimizable variables using the above example, which is highly undesirable (from a curve fitting and time perspective).

Please see the forum link:


http://www.multicharts.com/discussion/viewtopic.php?f=1&p=107169#p107169

Steps to reproduce this issue

see above description.

Comments (4)
#0
user-offline.png  vindiou (vindiou)
Jun 15, 2015 - 07:46

Slippage should be configured per instrument, not per strategy!
This clearly is a flaw which leads to unrealistic calculation results.
Configuring it from the code according to the current instrument or the current market conditions would be good.

#0
user-offline.png  vindiou (vindiou)
Jun 15, 2015 - 07:58

I meant slippage configurable from the QuoteManager and/or modifiable/editable from the code

#0
user-offline.png  vindiou (vindiou)
Jun 17, 2015 - 03:51
#1
user-offline.png  Will (wilkinsw)
Jan 24, 2018 - 08:21

Hi,

What's happening with this, any updates? This should be a very straight forward fix.

Solution:

-In PT, right click an instrument in a strategy. Click "Format Instruments"
-Simply add a tab here titled "Costs"

Job done!

Seperately: Other user(s) have suggested adding the ability to set slippage/costs in QM. I strongly disagree with this. My real world slippage varies wildly depending on the blend of order types I use for a given strategy. This solution would be awful! But, creating keywords to handle costs for use in the code would work. You could either declare costs in a line anywhere in the code OR,even better, be able to attach it to each and every order, which would be super granular!

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