An easy way to diversificate a portfolio of 100 strategies could be this one:
Apply a filter in the correlation tab to delete one of the strategies with more than x correlation as showed into te picture attached.
Portfolio Master is the best solution for a low number of strategies, but if you have a portfolio of 100 strategies or more it’s not usefull.
An other option could be to create a “Weighted Porfolio”. A button next to “Create Portfolio” could be “Create weighted portoflio”.
When you click, it get the highest net profit and calculate a multiplier for each of the other strategies in order to normalize the net profit and then create the portolio.
For example if I have a strategies that profit 10k and a strategy that profit 1k, the portfolio result will be very next to the equity of the first strategy. So it’s not possible to evaluete how the 2 strategies works togheter.
But if I multiply 10 times the second strategy before creating the portfolio I will have a “weighted portfolio” with the real result.
Attachments:You must be logged in to view attached files.
You must be logged in to reply to this topic.