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Open Feature request MC-2150

Multicharts Portfolio Optimization

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Description

Take a Portfolio with 2 different strategies defined, each with their own signal and their own different instrument.
The problem I see is following:

  • Optimizing Strategy 1 with the 4 parameters (Parameter 1A, 1B, 1C, 1D), we get 384 cycles when we run optimization only on this strategy (having Strategy 2 disabled)
  • Optimizing Strategy 2 with the 4 parameters (Parameter 2A, 2B, 2C, 2D), we get 384 cycles when we run optimization only on this strategy (having Strategy 1 disabled)

Running the Optimization for both in paralel ... I'm surprised to see that total number of combinations is full mesh across all 8 parameters ... with a total number of combinations of 147456 ... Unexpected ... why?
- There is no way parameters 1A-D can influence performance on Strategy 2 ...
- There is no way parameters 2A-D can influence performance on Strategy 1 ...
Hence, I would have expected that:
1) Both strategies remain independent in their Optimization combinations.
2) Total number of combinations when optimizing both Strategies in paralel is: 384 + 384 ... it should be their sum, not their product.

Steps to reproduce this issue
  • Optimizing Strategy 1 with the 4 parameters (Parameter 1A, 1B, 1C, 1D), we get 384 cycles when we run optimization only on this strategy (having Strategy 2 disabled)
  • Optimizing Strategy 2 with the 4 parameters (Parameter 2A, 2B, 2C, 2D), we get 384 cycles when we run optimization only on this strategy (having Strategy 1 disabled)

Running the Optimization for both in paralel ... I'm surprised to see that total number of combinations is full mesh across all 8 parameters ... with a total number of combinations of 147456 ... Unexpected ... why?
- There is no way parameters 1A-D can influence performance on Strategy 2 ...
- There is no way parameters 2A-D can influence performance on Strategy 1 ...

Comments (1)
#1
user-offline.png  andb (andrei.reiand@gmail.com)
Mar 20, 2017 - 18:31

glad to see this is under review!
this feature is really not a feature, rather pure common sense.

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