Hello, this topic has been brought up elsewhere on the forum but I can’t find it right now. I want to make a suggestion to improve the efficiency of the “Portfolio Master” function.
- Start with calculating the correlation between all strategies included in the Portfolio Master search.
- Don’t include strategies that is above the correlation threshold in the search.
- Don’t include strategies that is above the “Sector selection” search.
These simple things would save an enormous amount of time when computing portfolios. At the moment, the portfolios are combined and computed first and then matched afterwards against rules #2 and #3 above. In my opinion, it would make more sense to check against rule #2 and #3 first, and if e.g. two strategies are above the correlation threshold or sector selection, then we can skip combining and computing that particular portfolio, and go on with computing the next portfolio instead.
Does this make sense?
Thank you for providing such an excellent tool and function!
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