Congratulations for your Automatic Builder in the portfolio master. I Think it’s great.
I need to have diversification in my optimized portfolio, the, Sectors selection is good idea but I miss any other filters like MIN Allowed strategies from the same sector. It could help to optimize if we have a too much strategies to optimize.
Sector A: Strategies 1,2,3
Sector B: Strategies 4,5,6
Sector C: Strategies 7,8,9
If we need to have optimized portfolio with 4 to 7 strategies, and 2 strategies for each Sector then it would be great if we have a solution like:
Minimum allowed strategies from the same sector: 2
Strategies in portfolio min 4 to 7
The optimization would be faster.
Can you help me in that way??
it is now implemented as “max” allowed per sector. We might add an option to choose max/min or similar for more flexibility. Added a note for developers
On using sectors in QA4 https://docs.strategyquant.com/using-sectors-in-portfolio-master
Great idea. I’m sure it will show best results durinmg portfolio optimization.
I miss more filters that can help to Automatic Builder:
1.-MAXDrawdown allowed. (to set a max. drawdown allowed in the optimization)
2.- MIN Net Profit
3.- MIN. RET/DD RATIO
4.- MAX & MIN allowed strategies in the same sector (as we said in the last post)
5.- MIN profit factor
6.- MIN Annual Return/CAGR
Thank you for your help
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