SQX should support Monte Carlo analysis for the portfolio

      I recently discovered the "Automatic retest" task feature, which is so convenient to be used create big portfolio. It allows specify exactly which configuration parts should be overwritten, so i can use unified, global initial portfolio capital, MM method, data range. SQX is really very flexible, and many features need to be explored slowly. I was really stupid to use the "Retest stretegies" task for two years. I modified these three unified parameters for a large number of strategies every time.
      I have seen the dawn of abandoning MSA in which i implement portfolio money management now. When the portfolio is relatively large, it is very cumbersome to export and import a large number of strategies to a new tool (such as MSA or QuantAnalyzer4) .There is a pressing and high priority feature that needs to be implemented further . That is Portfolio Monte-Carlo random trade order feature. As you can see in the attachment, we can easily set global Monte-Carlo trades manipulation. Since you can see Monte Carlo results on every single strategy retested, why not merge Monte Carlo results on portfolio as well? It seems that it is not very difficult to combine the results of 500 MC simulations of 10 strategies vertically.Only in this way we can observe the metrics of portfolio such as the Ret/DD ratio,Max DD,Annual % return and so on, understand the risk probability of ruin. And in turn guide the setting of more reasonable initial portfolio capital and MM methods. Inital capital and MM methord are adjusted repeatedly in order to get our expected Risk-adjusted return.
      Of course, it would be better and more perfect if other advanced features in QA4 were  integrated into sqx. Such as looking for small portfolio of correlation coefficients below a certain value in a large number of strategies.
In fact, some SQ users have submit and vote similar requirements.But there has been no progress so far.
https://roadmap.strategyquant.com/tasks/sq4_8086
https://roadmap.strategyquant.com/tasks/sq4_8850
https://roadmap.strategyquant.com/tasks/sq4_9483
     By the way, some sq users told me, "you can use QA4 to fulfill your needs." In fact, the QA4 is very good, but it uses the three module of money management, Monte Carlo analysis and portfolio management separately. We need to do money management method and Monte Carlo analysis for a large portfolio(maybe more than 30 strategies) at the same time. The logic is to perform money management and Monte Carlo analysis on each independent strategy in batches, and the second step is to consolidate all Monte Carlo analysis results and put them into MC report of portfolio.
     As we all know, building a diversified portfolio with low correlation is a free lunch, and properly implementing risk and money management for portfolio is the key to getting retail traders to go far. I think that is the closest thing to the holy grail of trading. In order to enable more retail traders using SQ to achieve success faster. I sincere hope SQ develop team to seriously consider portfolio Monte Carlo feature, in particular, MC randomize trade orders. and raise that priority to the highest.  I would even think it is a higher priority than fixing a lot of small bugs.
    Thanks very much to the development team of SQX. I hope SQX will become stronger and stronger in the new year.

Attachments
no Monte-Carlo portfolio result.jpg
(1.45 MiB)
Monte Carlo result.jpg
(1.72 MiB)
MC random trade order.jpg
(1.00 MiB)
automatic retest workflow.jpg
(1.23 MiB)
  • Votes +10
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

b
#1

binhsir

31.01.2023 09:50

Task created

KB
#2

kbtech

31.01.2023 17:43
Voted for this task.
E
#3

Emmanuel

01.02.2023 07:03
Voted for this task.
k
#4

Karish

01.02.2023 12:06
Voted for this task.
l
#5

Loonly

02.02.2023 10:39
Voted for this task.
TR
#6

Tim

04.02.2023 02:21
Voted for this task.
DJ
#7

ParryManta

04.02.2023 22:09
Voted for this task.
e
#8

earei

05.02.2023 03:42
Voted for this task.
b
#9

binhsir

06.02.2023 15:56
Voted for this task.
b
#10

binhsir

15.02.2023 09:07

Subject changed from We really need Portfolio Monte Carlo trade orders result at least. to SQX or QA4 should support Monte Carlo analysis for the portfolio with Money Managerment

b
#11

binhsir

18.02.2023 10:59

Subject changed from SQX or QA4 should support Monte Carlo analysis for the portfolio with Money Managerment to SQX should support Monte Carlo analysis for the portfolio with Money Managerment

Description changed:

      I recently discovered the "Automatic retest" task feature, which is so convenient to be used create big portfolio. It allows specify exactly which configuration parts should be overwritten, so i can use unified, global initial portfolio capital, MM method, data range. SQX is really very flexible, and many features need to be explored slowly. I was really stupid to use the "Retest stretegies" task for two years. I modified these three unified parameters for a large number of strategies every time.
      I have seen the dawn of abandoning MSA in which i implement portfolio money management now. When the portfolio is relatively large, it is very cumbersome to export and import a large number of strategies to a new tool (such as MSA or QuantAnalyzer4) .There is a pressing and high priority feature that needs to be implemented further . That is Portfolio Monte-Carlo random trade order feature. As you can see in the attachment, we can easily set global Monte-Carlo trades manipulation. Since you can see Monte Carlo results on every single strategy retested, why not merge Monte Carlo results on portfolio as well? It seems that it is not very difficult to combine the results of 500 MC simulations of 10 strategies vertically.Only in this way we can observe the metrics of portfolio such as the Ret/DD ratio,Max DD,Annual % return and so on, understand the risk probability of ruin. And in turn guide the setting of more reasonable initial portfolio capital and MM methods. Inital capital and MM methord are adjusted repeatedly in order to get our expected Risk-adjusted return.
      Of course, it would be better and more perfect if other advanced features in QA4 were  integrated into sqx. Such as looking for small portfolio of correlation coefficients below a certain value in a large number of strategies.
In fact, some SQ users have submit and vote similar requirements.But there has been no progress so far.
https://roadmap.strategyquant.com/tasks/sq4_8086
https://roadmap.strategyquant.com/tasks/sq4_8850
https://roadmap.strategyquant.com/tasks/sq4_9483

     By the way, some sq users told me, "you can use QA4 to fulfill your needs." In fact, the QA4 is very good, but it uses the three module of money management, Monte Carlo analysis and portfolio management separately. We need to do money management method and Monte Carlo analysis for a large portfolio(maybe more than 30 strategies) at the same time. The logic is to perform money management and Monte Carlo analysis on each independent strategy in batches, and the second step is to consolidate all Monte Carlo analysis results and put them into MC report of portfolio.
     As we all know, building a diversified portfolio with low correlation is a free lunch, and properly implementing risk and money management for portfolio is the key to getting retail traders to go far. I think that is the closest thing to the holy grail of trading. In order to enable more retail traders using SQ to achieve success faster. I sincere hope SQ develop team to seriously consider portfolio Monte Carlo feature, in particular, MC randomize trade orders. and raise that priority to the highest.  I would even think it is a higher priority than fixing a lot of small bugs.
    Thanks very much to the development team of SQX. I hope SQX will become stronger and stronger in the new year.

b
#12

binhsir

25.02.2023 08:01

Subject changed from SQX should support Monte Carlo analysis for the portfolio with Money Managerment to SQX should support Monte Carlo analysis for the portfolio

VH
#13

anttropus

25.02.2023 09:48
Voted for this task.
RL
#14

rickliao

19.03.2024 18:24
Voted for this task.

Votes: +10

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