Difference between portfolio and individual strategy
4 replies
munchie
8 years ago #114107
Hello all,
Does anyone know what the difference is in creating a portfolio of strategies and creating a number of individual strategies? Ie, does a portfolio ultimately end up as one expert advisor to be used on all charts where they have the underlying pair tested? In what way is this different to having a one eurusd, one gbpusd, one usdchf strategy and running it one at a time?
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tomas262
8 years ago #132213
hi,
you always create code for individual strategies. Then you combine strategies into a portfolio. Purpose of this function is to see performance results of strategies combined into a portfolio. It does NOT produce portfolio EA.
munchie
8 years ago #132221
Thanks Tomas, that clears things up a bit. Maybe as a useful feature request, there could be an additional filter in the databank where maybe there is a slider or a figure put box that filters and only shows strategies in the databank that meets that condition? I’m suggesting this because when I start with a population of 2000 strategies and try to delete those with <$500 OOS net profit, I find it slow to delete it one by one? Unless I'm missing something?
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Edinho
8 years ago #132424
Munchie
you can set this in your rankings – Profit factor for oos minimum 1.2 for example or net profit bigger than 1000$ in oos then you only get strategies to you databank which meets this criteria..
About portfolio – this is the way to go…more strategies you have better results you should achieve as long as you strategies are robust enough.
I would also suggest to have a look on strategies correlation and remove the ones which are correlated 0.5 and more
munchie
8 years ago #132426
Thanks edinho, I have since been using the OOS filter more to remove the unprofitable strategies and I like your correlation filter which I don’t think I am using at the moment. Do u know which strategy is the right one to export to EA after it passes the walk forward matrix? Is this the optimised strategy or the original one?
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