Block Strategies in Portfolio Master


A very useful feature would be to have the chance to block some strategies in the Portfolio Master in order that all the created portfolios always would contain these blocked strategies. I'll try to explain better myself with an example (pasted figure):
1- You have 4 uncorrelated strategies that passed your filters. You don't want to miss them
2- Now let's imagine that you get 7 new promising strategies
3- We want to create a Portfolio of uncorrelated strategies. Portfolio Master as it is right now will mix the total; the 4 old ones + the 7 new ones. And it will propose you new portfolios that perfectly could miss your favorites 4

I'd always want the 4 old ones in all the new portfolios. The only way to get that is blocking these 4. This is the asked feature.

On the past you fixed a very similar demand in false based on a solution proposed by Hankeys. Warning! That solution has a flaw. Hankeys proposed to merge your 4 initial strategies in a first step and later Run the Portfolio Computer with Merged Strategy + 7 new strategies. That's not correct! You could have the merged strategy uncorrelated with the other ones (7), but this merged strategy could hide a correlated strategy.
You can check it with 3 strategies: A, B, C: A and B are correlated, C is uncorrelated with A, B. You could perfectly have uncorrelated AC (=merged) with B

If you follow this solution you'll be fooling yourselves!!

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  • Votes +9
  • Project QuantAnalyzer
  • Type Feature
  • Status New
  • Priority Low




27.07.2019 20:18

Task created



27.07.2019 20:19
Voted for this task.


28.07.2019 10:23
its not a mistake - its only one possible way how to do it right now...  its only some sort of detour

user need to know that merged strategies together will have other correlation than a single strategies - thats true

but i dont have the time to wait years, when devteam solve this



31.07.2019 15:37
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31.07.2019 15:42
another very good feature will be switch "set market as sector" ON/OFF in the sector selection

imagine that i have 500 strategies and want to make a portfolio from 20 strategies.

i have 6 markets, but mainly EURUSD because its an easiest market where i can find strategies, for example from 500 the EURUSD are 300 strategies

if i set portfolio master to find min 20 max 20 strategies, what will happen - i will have mailny EURUSD in the portfolio, because i have too many EU strats in the databank

but i want to diversify more - for example - find portfolio where max 5 strategies from each market will be

i cant do it right now automatically, only i can set manaully sectors for each market

if there will be switcher "set market as sector" turned on, and i will set use max 5 strategies from each sector, everything will be done automatically

and its very easy to add this feature, because market we know, we have already column with market value




01.08.2019 04:12
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01.08.2019 18:41

@hankeys. If I understand you well you mean that with a bunch of strategies on different pairs you'd like to be able to set a max number per pair.

What I do right now is to create a Portfolio per pair. In this case it's simple to set this max number with the current QA. Once you have these 5 strategies (or the number you want) per Portfolio if you put them together and see their correlations most probable is that all the pairs will be uncorrelated. And only in those exceptional cases you found a correlation (so far never happened to me) you can delete the correlated strategy and create a new portfolio with the pair you substracted the strat.



02.09.2019 18:17
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09.05.2020 12:35
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10.05.2020 22:26
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16.08.2020 12:53
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06.10.2020 13:42
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13.11.2020 08:45
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