Portfolio Composer

Overview

Portfolio Composer is a major feature introduced in StrategyQuant X Build 141. It enables simulation and optimization of a portfolio composed of multiple strategies by not only selecting which strategies to include, but also determining their weights—how much capital to allocate to each strategy for the best overall performance.

This module addresses a practical trader’s question:

Given a trading account (e.g., $10,000, $30,000, or $100,000) and multiple strategies, how should capital be distributed among them to achieve optimal performance?

Portfolio Composer vs. Portfolio Master

While both modules support portfolio simulation, there are key differences:

• Portfolio Master builds portfolios by combining strategies and ranking them based on brute force or genetic algorithms, without modifying their capital allocation.
• Portfolio Composer not only selects strategies but also optimizes position sizing based on defined weights, allowing dynamic control over each strategy’s risk level.

For example, you can allocate:

• Strategy A to trade at 200% of its original risk.
• Strategy B to trade at 50% of its original risk.

This fine-tuned capital allocation leads to more accurate and efficient portfolio optimization.

Note: Portfolio Composer was initially designed for StockPicker strategies but is compatible with other asset classes as well.

Using Portfolio Composer

Step 1: Load Strategies

Open the Portfolio Composer module and load the candidate strategies into the left panel.

Step 2: Configure Strategy Weights

Select which strategies to include and define their weights. The weight determines the multiplier applied to the strategy’s original money management configuration:

WeightDescription

100% Uses the original position sizing

200% Doubles the position size

50% Halves the position size

Examples:

• Risk-based money management:
• If Strategy A risks 10% of the account at 100%, then:
  • At 200%: It risks 20%
  • At 250%: It risks 25%
• Fixed-size money management:
• If Strategy A risks $1000 per trade at 100%, then:
  • At 200%: It risks $2000
  • At 250%: It risks $2500

Step 3: Set Account Parameters

Set your Account Balance and Leverage. For example:

• Account: $10,000
• Leverage: 2
• → Effective trading capital: $20,000

Portfolio Composer will also respect free margin constraints. If the margin is insufficient for a strategy’s trade on a given day, the trade will be skipped, and the system will attempt to allocate orders to the next eligible strategy.

Portfolio Simulation Results

Once configuration is complete:

1. Click Recompute Portfolio.
2. The system simulates the portfolio using your selected strategies and weights.
3. Results are displayed in the right panel, including:
   • Overview
   • List of Trades
   • Equity Chart
   • PortfolioComposer Log

The PortfolioComposer Log provides a daily breakdown of:

• Executed trades
• Position sizing adjustments
• Skipped trades due to insufficient free margin

This detailed output helps validate the simulation and identify margin-related execution constraints.

Cross-Check: Automatic Portfolio Construction – Modern Portfolio Theory