Delete duplicates and too similar strategies

KP

#1

CooleRnax

29.10.2019 17:10

Task created

KP

#2

CooleRnax

29.10.2019 17:47

Subject changed from Delete duplicates or too similar strategies to Delete duplicates and too similar strategies

Description changed:

My portfolio of strategies gets quite big, it takes a lot of time to compute portfolios in portfolio master.
I'm pretty sure there some duplicates or too similar strategies in the the portfolio.

I wish there was a way to filter out duplicates and too similar strategies from the portfolio (per symbol and timeframe ofc).

And keep the best strategies.

h

#3

hankeys

30.10.2019 07:02

correlation between strategies should do what you want and its already implemented in portfolio master

focus for monthly correlation for example profit/loss < 0.3

KP

#4

CooleRnax

30.10.2019 15:18

I'm talking about deleting duplicates and too similar strategies from set of strategies in automated way.

I have that many strategies that it takes too much time to generate portfolios in portfolio master.

I think new module should check symbol, timeframe, correlation and indicators used.

And to have adjustable fitness function to keep preferred strategies.

t

#5

tnickel

15.01.2020 16:17

Voted for this task.

TT

#6

Tamas

16.01.2020 13:12

Status changed from New to Refused

QA works with backtest results not with strategies. So it cannot check the indicators so on.

The best way how to remove 'duplicity' is check the correlation

Delete duplicates and too similar strategies

History

CooleRnax

CooleRnax

hankeys

CooleRnax

tnickel

Tamas