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The fit to portfolio function should first filter the relevance of existing portfolios

Now when the fit to portfolio function is used, it is assumed that the existing portfolio satisfies the requirement that the correlation between each two strategies is less than a certain value, such as  0.3.

But in fact, in the whole process of sqx, it is missing to filter the existing portfolio according to its relevance (especially for a large number of policies generated in the historical version of sqx), and there may be a large number of highly relevant strategies  in the existing portfolio at the actual runtime.when we use fit to portfolio, SQX first generate strategies, and then compare them with those in existing portfolio one by one, eliminating one at a time. The efficiency of this operation is very low.

It is suggested that the existing portfolio should be filtered according to the correlation, and then the correlation of every two strategies in the existing portfolio should be less than a certain value. Then the new generated strategy is compared with each strategy in the existing portfolio.

It's better to add a function of filtering existing portfolio by using correlation, if it can be added to custom filters and custom project as a filter condition.

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Votes +1
Project StrategyQuant X
Type Bug
Status Refused
Priority Normal

History

Jordan

25.01.2021 03:23

Task created

hankeys

25.01.2021 07:19

Voted for this task.

hankeys

25.01.2021 07:22

https://roadmap.strategyquant.com/tasks/sq4_7341

Mark Fric

04.03.2021 09:12

Status changed from New to Refused

this is not the function of this feature. When you use Fit to portfolio you should already have the portfolio prepared.

Jordan

04.03.2021 09:30

Yes，I know this is not the function of this feature. When I use Fit to portfolio I should already have the portfolio prepared.

But I find there is no such function which can filter the existing portfolio according to its relevance in the whole process of sqx. You can consider adding this module to the custom project. This feature is really important. I noticed that other customers have responded to similar questions. Thank you, Mark.

Votes: +1