Generating real portfolios right from the start

I had suggested this a while back already here:

https://strategyquant.com/forum/topic/4416-sq4-early-preview/page/53/#post-233186

And Mark replied that this is already possible, but it is not, what he meant was the computation of the fitness function on the whole portfolio, but this is not the same as generating an EA on multiple symbols right from the start, like I´ve suggested.
What I am looking for, like in that "other" trading software, is to let SQX search for strategies on multiple symbols at once, not just one symbol and then retest on other symbols to see if it works there too and not just letting it access data from other symbols but then only trade on the main symbol (like it is possible now). The feature of that other platform is to find systems that generate a good COMBINED equity curve if trading on ALL symbols I´ve selected right from the start. It trades on all symbols that I´ve selected all the time and in each backtest / test and shows the combined equity curve (and uses this for all metrics, like net profit, ret / dd, etc.) from all trades on all symbols at once, it then future evolutes / optimized the systems and handles the complete portfolio as the equity curve continously. Again, this is completely different to what SQX does right now. It would be nice to have that feature of generating *real* portfolio systems in SQX too.

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  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status Fixed
  • Priority Normal

History

g
#1

geektrader

18.10.2018 11:37

Task created

g
#2

geektrader

18.10.2018 11:43
Voted for this task.
MF
#3

Mark Fric

13.05.2020 11:46

Status changed from New to Fixed

closing an old task.


This is already possible. When you use cross check "Backtest on additional markets" AND set ranking fitness to Portfolio, then it computes fitness from the whole portfolio of the symbols and evolves the strategies based on this.


I don't see any better way to do it, the strategy is generated jusyt once, then tested on main symbol then on additional symbols, and compute portfolio fitness. The "other" software might make it look like ti is doing it in annother way, but it is the same.


Votes: +1

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