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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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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:


Steps to reproduce this issue

see above description.

Comments (3)
user-offline.png  vindiou (vindiou)
Jun 15, 2015 - 06:46

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.

user-offline.png  vindiou (vindiou)
Jun 15, 2015 - 06:58

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

user-offline.png  vindiou (vindiou)
Jun 17, 2015 - 02:51
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