Portfolio sizes and robustness

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Portfolio sizes and robustness

Postby mandelmus » Sat Dec 29, 2012 9:03 pm

Some of my strategy combinations appear to do better in the in-between portfolio sizes (2Port, 3Port, 4Port sizes, 7Port, 8Port, etc), have you noticed if strategies that are profitable in those in-between portfolio sizes do better if the portfolio sizes larger do better or does it not make a difference. So, for example, if I am comparing 2 strategies (one from a 1PortAPR and the other from a 5PortAPR) that each have around 9.34% average annual returns at a portfolio size of 4 -- would the 4Port strategy taken from the 5PortAPR indicate more robustness in the lower portfolio sizes than the 4Port strategy taken from the 1PortAPR? Further, would a 4Port strategy taken from a 15PortAPR be more robust than if it were taken from the 1PortAPR or 5PortAPR strategies? I ask because I have noticed that sometimes the higher portfolio sizes (5,6,7,8,9,10) of my 1PortAPR strategies have negative Avg Ann Returns vs. all of the portolio sizes (1-10) in the 15PortAPR have positive Avg Ann Returns. I have noticed that the MC Avg Ann Returns of almost all portfolio sizes of the 15PortAPR strategies perform better than the MC Avg Ann Returns of all portfolio sizes of the 1PortAPR and 5PortAPR strategies. What are your tips for selecting strategies based on this?
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Re: Portfolio sizes and robustness

Postby Overload » Sun Dec 30, 2012 7:47 pm

I'm not sure I understand your question. But in general I prefer to look at the highest portfolio size that is still profitable, since that provides the greatest number of trades and therefore the most diversity. I would not trust a system that relied on portfolio size to simply make the system profitable. That, to me, would be a little too close to curve-fitting.

Pete
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Re: Portfolio sizes and robustness

Postby mandelmus » Mon Dec 31, 2012 6:02 pm

Yes, that's what I wanted to know.

After running a strategy, it produced about 9000 combinations. Is there a way to export all 9000 combinations to csv format without having to increase the "Maximum Results To Display" to 9000 under "Display > Combination Results" window?
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Re: Portfolio sizes and robustness

Postby Kevin_in_GA » Mon Dec 31, 2012 6:10 pm

Create a custom portfolio size of 500. Set your trade settings to no slippage, no commissions (so that the results are based solely on the trade and not the trade size). Run a detailed analysis, then export the trades as usual.
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Re: Portfolio sizes and robustness

Postby Overload » Mon Dec 31, 2012 8:26 pm

I think Kevin may have misunderstood your question, although his approach can be used to export all of the trades in a system.

But to export 9000 results from the Combination Results Listing, the only way would be to increase the "Maximum Results To Display" as you mentioned, and then export the listing.

Pete
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Re: Portfolio sizes and robustness

Postby mandelmus » Tue Jan 01, 2013 4:53 am

Thanks, both of those tips were very helpful.

Pete said, "I prefer to look at the highest portfolio size that is still profitable, since that provides the greatest number of trades and therefore the most diversity." So, when doing one-clicks or walk-forward analyses (WFA), is there a way to encourage StrataSearch to prefer strategies that are "still profitable at the highest portfolio sizes"?
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Re: Portfolio sizes and robustness

Postby Overload » Tue Jan 01, 2013 10:22 am

Sorry, but no, a OneClick Search searches for the highest scoring system of the portfolio size you specify in advance. A single OneClick does not search for a variety of portfolio sizes.

Pete
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