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Open Feature request MC-1923

Speeding up the Portfolio Optimization No. 1

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Description

Please allow the Equity Curve with less points, so a detailed equity curve has less data points in portfolio optimization. That means that the user can define how much he narrow the data points from detailed to less detailed equity curve. Of cource the maximum intraday drawdown should be shown nevertheless. But with less data points an optimization on portfolio level is much faster. E.g. on 1 minute trading systems with many of trades it can be useful that only every 5th trade is shown as data point e.g. or that only one point or one bar per day (or week for daily systems) is shown as equity curve. After downsizing the data points on an equity curve by the user he then can do much faster an portfolio optimization because less data points per trading systems have to be considered in calculation. This is neccessary because with lots of single trading systems, e.g. 50 or 100, you need to speed up the optimization, because it still takes too long with a genetic approach, I have been experiencing. Thank you.

Steps to reproduce this issue

Please allow the Equity Curve with less points, so a detailed equity curve has less data points in portfolio optimization. That means that the user can define how much he narrow the data points from detailed to less detailed equity curve. Of cource the maximum intraday drawdown should be shown nevertheless. But with less data points an optimization on portfolio level is much faster. E.g. on 1 minute trading systems with many of trades it can be useful that only every 5th trade is shown as data point e.g. or that only one point or one bar per day (or week for daily systems) is shown as equity curve. After downsizing the data points on an equity curve by the user he then can do much faster an portfolio optimization because less data points per trading systems have to be considered in calculation. This is neccessary because with lots of single trading systems, e.g. 50 or 100, you need to speed up the optimization, because it still takes too long with a genetic approach, I have been experiencing. Thank you.

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History
Issue basics
  • Type of issue
    Feature request
  • Category
    Performance
  • Targeted for
    Not determined
  • Status
    Under Review
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
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  • Severity
    Normal
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