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Build 130: Fit to portfolio

If I enable the filter to fit to portfolio the generation process slow a lot, I think it happen because the sofware is computing the correlation for each strategy generated. 

The best solution I think is to compute the correlation only for the strategy generated that already passed all the other filter set by the user (profit factor, # of trades....). 

Attachments
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

SL
#1

Morningbull

15.11.2020 12:53

Task created

h
#2

hankeys

15.11.2020 14:06
who really want this? this cant be used for some duplicity checking, whats needed - instead of it, we have this
SL
#3

Morningbull

15.11.2020 18:19

Attachment Capture.png added

Capture.png
Capture.png
(25.29 KiB)
Maybe my explanation has not been clear enough:


As you can see from dismiss reasons attached, the correlation is computed before of some others (faster) filters, as for example Winning percent or Stability.

To speed up the process I think the correlation should be instead computed at the end of all other filters because it seems to be slower, this modification will not impact in any way the logic of the software.


h
#4

hankeys

15.11.2020 18:37
totally make sense, i am talking about pretty the same - some correlation test need be done only as a final stage of the workflow, so it should me much much better as a task in custom projects and usability will be much much higher...
TT
#5

Tamas

18.11.2020 10:15

Status changed from New to Refused

"As you can see from dismiss reasons attached, the correlation is computed before of some others (faster) filters, as for example Winning percent or Stability."

It is not true. First are checked global filters together with auto dismissal rules and then there is a check fitToExistingPortfolio

SL
#6

Morningbull

18.11.2020 21:05
This is very strange, first because after 2 or 3 strategies found the generation speed decrease a lot and second because if you look in the picture attached by me before, you can see that rejected for "Correlation with existing portfolio" are 567 strategies and rejected for "Stability>0.7" are only 7. Take also in consideration that at the moment of that screenshot just 2 strategies were in the portfolio.
h
#7

hankeys

19.11.2020 10:17
the number of dismissed strategies are not the evidence that its not working as stated...if you remove the "fit portfolio" the stability is filtered much much more, or not?
SL
#8

Morningbull

19.11.2020 19:06
Of course, if I remove the "fit portfolio" the number of strategies dismissed for stability increase a lot
Votes: 0

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