Portfolio master

PM struggles with a large number of strategies.  PM is such an important piece of functionality it seems a pity not being able to load it with 1000s of strategies.  I think the following draft use case would add a lot of value and make it much easier to work with a large number of strategies:

1.  Load PM with large number of strategies, say 10000.
2. Start PM.
3. Each time PM finds a portfolio of a given size, the component strategies are deleted from the data bank.  This would continue until all the strategies are deleted from the databank or a given condition is met.
4. All the portfolios are then split to singles strategies, go to 2.
5. after the number of strategies reach a manageable size (computer resource wise, say 200 strategies). The standard brute force/genetic search would continue as normal.


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  • Votes 0
  • Project QuantAnalyzer
  • Type Feature
  • Status Fixed
  • Priority Normal




18.09.2017 12:23

Task created



19.09.2017 18:46

I tested the suggested process earlier today.  Quickly generating a portfolio of ten strategies, deleting those ten strategies then repeating the process tends to weed out the highly correlated strategies.  The 10 strategy portfolios strategies are then added back to the databank and then larger size portfolios are much quicker to find.



27.11.2017 14:43

Status changed from New to Fixed

The current implementation of PM works on different way but thanks for the idea.

We will improve PM feature to work with large number of strategies in the next version.



24.01.2018 07:37
After notch procedure is implemented the next and the final feature should be to  automatically contract size them due to their correlation in the portfolio in order to either  maximize profit and/or minimize drawdown and stagnation. This should also be possible to do on imported live trade history data including FXblue  since there you can exclude bad strategies before saving the CSV with Magic numbers !

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