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Open Feature request MC-1924

Speeding up the Portfolio Optimization No. 2

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Description

Hello, please allow to set a multiple portfolio optimization before a first portfolio optimization starts. E.g. you want to test 100 strategies. You cannot do this at once because it takes too long. Then you divide them into 5 times 20 strategies you can test in one portfolio optimization. After such an optimization the user defined criterias choosing the best portfolios ( 1 or an X number of his portfolios from the optimization table), should be saved into chosen portfolios. After the 5 (with 20 single systems each) portfolio optimization then all the chosen portfolios comes together in an overall portfolio optimization. In that way a large number of single trading systems can be handled for a portfolio optimization. Of course the user should define how he wants to define the several parts of a bigger portfolio optimization. This would save time. Actually all must be done by hands.
E.g. another approach could be that one single system with the best fit is chosen than a second single system is been added to a portfolio to see if this new portfolio is better than the first single system together. If not then the next one single system is chosen until all single systems has been grouped together to achieve a portfolio with the highes user defined fit. Also this can only be done by hands actually.

Please realize this feature request to save time for the user. There are a lot of advantages that comes up if this is realized. I cannot show them all here. I think it is even more important than request "Speeding up the Portfolio Optimization No. 1" because of more possibilities.

Steps to reproduce this issue

Hello, please allow to set a multiple portfolio optimization before a first portfolio optimization starts. E.g. you want to test 100 strategies. You cannot do this at once because it takes too long. Then you divide them into 5 times 20 strategies you can test in one portfolio optimization. After such an optimization the user defined criterias choosing the best portfolios ( 1 or an X number of his portfolios from the optimization table), should be saved into chosen portfolios. After the 5 (with 20 single systems each) portfolio optimization then all the chosen portfolios comes together in an overall portfolio optimization. In that way a large number of single trading systems can be handled for a portfolio optimization. Of course the user should define how he wants to define the several parts of a bigger portfolio optimization. This would save time. Actually all must be done by hands.
E.g. another approach could be that one single system with the best fit is chosen than a second single system is been added to a portfolio to see if this new portfolio is better than the first single system together. If not then the next one single system is chosen until all single systems has been grouped together to achieve a portfolio with the highes user defined fit. Also this can only be done by hands actually.

Please realize this feature request to save time for the user. There are a lot of advantages that comes up if this is realized. I cannot show them all here. I think it is even more important than request "Speeding up the Portfolio Optimization No. 1" because of more possibilities.

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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
Affected by this issue (2)
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Issue details
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  • Severity
    Normal
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