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Forums>Quant Analyzer (formerly named EA Analyzer)>General Discussion>New filter in Automatic Builder: MIN allowed strategies from the same sector??

  • #217910 |
    Customer
    15 Posts

    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.
    For Example

    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??

     

    #217940
    tomas262
    Administrator
    1827 Posts

    Hello,

    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

    #217943
    Customer
    15 Posts

    Hi,

    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

    etc.

     

    Thank you for your help

     

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