Reduce funds by number of strategies in the portfolio - Portfolio manager

There is a problem when I want to generate portfolio maximizing net profit using a range of strategies for example from 5 to 20.

Here I don't know in advance how many strategies I need to have in my portfolio.

The results always end up with 20 strategies, because analyzer doesn't split funds between strategies, it just sums funds.
My strategies use mm (stock size by price, using initial capital). So capital used for each trade is the same.

Not sure if maximizing ret/dd is affected by this, but maximizing net profit is definitely affected.

So for 5 strategies portfolio we need to reduсe size by 5 times for each strategy in the portfolio.
So for 10 strategies portfolio we need to reduсe size by 10 times for each strategy in the portfolio.
So for 20 strategies portfolio we need to reduсe size by 20 times for each strategy in the portfolio.

This way the results will be correct.
I miss such an option a lot.

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  • Votes +1
  • Project QuantAnalyzer
  • Type Feature
  • Status New
  • Priority Normal

History

KP
#1

CooleRnax

04.09.2019 20:53

Task created

KP
#2

CooleRnax

04.09.2019 20:57

Subject changed from Portfolio manager - Split funds by number of strategies. to Reduce funds by number of strategies in the portfolio - Portfolio manager

b
#3

bentra

14.09.2019 09:18
It's in the portfolio settings tab, you can change the initial deposit to whatever you want.
KP
#4

CooleRnax

14.09.2019 15:38
I don't see any portfolio settings in portfolio master that will prevent summing all initial deposits of the strategies
KP
#5

CooleRnax

14.09.2019 15:38
Voted for this task.
KP
#6

CooleRnax

14.09.2019 16:15
Or to modify is the way analyzer behaves to achieve correct results. 

Votes: +1

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