Effect of "Portfolio Size" settings on Detailed Analysis

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Effect of "Portfolio Size" settings on Detailed Analysis

Postby mandelmus » Wed Jun 13, 2012 3:55 am

Since the "Detailed Analysis Listing" still reports results on "Portfolio Sizes" from 1 through 20 even when I set the "Maximum Open Positions Per Strategy:" to 5 for OneClick setups, what is the effect on the "Detailed Analysis Listing" when selecting "Portfolio Sizes" 1 through 20? What is the interaction between those settings and results?
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Re: Effect of "Portfolio Size" settings on Detailed Analysis

Postby Overload » Wed Jun 13, 2012 9:11 am

The "Maximum Open Positions Per Strategy" allows you to limit the number of positions that will be held in a single strategy at any given time. However, by default a OneClick Search will allow you to have multiple strategies in your Multi-System result. That number is determined by the "Number of Strategies" setting. So the maximum number of positions that can be held will actually be the "Number of Strategies" multiplied by the "Maximum Open Positions Per Strategy".

The purpose of that setting isn't really to limit the number of positions that will be held in the portfolio. That can be managed by the Portfolio Size in the results, as you mentioned. Instead, the "Maximum Open Positions Per Strategy" is used to prevent any single strategy from dominating the portfolio. For example, suppose you have 2 strategies, with one producing large numbers of trades and the other producing few but powerful trades. By limiting the number of positions per strategy, you can prevent the first strategy from continually filling the portfolio, allowing the second strategy the ability to enter positions when buy signals are triggered. In addition, limiting the number of positions per strategy limits risk by distributing the positions more evenly across multiple strategies.

Hopefully this helps, but let me know if you have additional questions on this.

Pete
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Re: Effect of "Portfolio Size" settings on Detailed Analysis

Postby mandelmus » Wed Jun 13, 2012 4:57 pm

Yes, thanks, that helped.
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Re: Effect of "Portfolio Size" settings on Detailed Analysis

Postby mandelmus » Sat Aug 23, 2014 4:08 am

Under "OneClick Setup > General tab > Portfolio Sizes", could you explain how "Strategies:" and "Multi-System:" are interpreted?
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Re: Effect of "Portfolio Size" settings on Detailed Analysis

Postby Overload » Sat Aug 23, 2014 8:49 am

Both individual strategies and the combined multi-system are scored along the way, based on the settings of the Strategy Performance and the Multi-System Performance tabs. Those settings contain an evaluation of the performance metrics, like average annual return, drawdowns, etc. But it is the settings you mention that identify the Portfolio Size to evaluate for each of those tabs.

Pete
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Re: Effect of "Portfolio Size" settings on Detailed Analysis

Postby mandelmus » Sun Aug 24, 2014 3:14 am

I'm still trying to understand the impact of "Portfolio Sizes" on "OneClick Setups". I understand how the "Multi-System Settings" (Number of Strategies, Maximum Open Positions Per Strategy) affects strategy development, but how exactly does, "Portfolio Sizes > Strategies and Multi-System" affect strategy development? What's the different between "Portfolio Sizes: Strategies:" 1 and 20? What's the different between "Portfolio Sizes: Multi-System:" 1 and 20? How is StrataSearch using those values in strategy development?
mandelmus
 
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Re: Effect of "Portfolio Size" settings on Detailed Analysis

Postby Overload » Sun Aug 24, 2014 9:17 am

The Portfolio Size identifies how many positions you will be holding by your strategy at any given time. This needs to be identified so that you know what percentage of cash you will be investing in each position. For example, with a Portfolio Size of 10, you will be holding a maximum of 10 positions and investing 10% of your cash in each position. With a Portfolio Size of 20, you will be holding a maximum of 20 positions and investing 5% of your cash in each position. The number of positions your strategy holds can greatly effect the results. A larger Portfolio Size means greater diversity with larger numbers of positions, but sometimes a system doesn't produce enough "good" trades to sustain a larger portfolio size. In the Detailed Analysis, you can change the Portfolio Size to the different settings of 1 to 20, and you can see the different results that would come from having traded each.

how exactly does, "Portfolio Sizes > Strategies and Multi-System" affect strategy development?

When searching for strategies, the results of those strategies are evaluated. But only 1 Portfolio Size result is evaluated. If you choose a Portfolio Size of 5 for your Strategies, then that is the Portfolio Size results that will be evaluated. Likewise, if you choose a Portfolio Size of 15 for your Multi-System, then that is the Portfolio Size result that will be evaluated.

What's the different between "Portfolio Sizes: Strategies:" 1 and 20?

With a Portfolio Size of 1, only 1 position will be held by the strategy and 100% of your cash will be invested in it each time. With a Portfolio Size of 20, up to 20 positions will be held by the strategy and 5% of your cash will be invested in each.

What's the different between "Portfolio Sizes: Multi-System:" 1 and 20?

With a Portfolio Size of 1, only 1 position will be held by the multi-system and 100% of your cash will be invested in it each time. With a Portfolio Size of 20, up to 20 positions will be held by the multi-system and 5% of your cash will be invested in each.

How is StrataSearch using those values in strategy development?

Results will be different for each portfolio size, but a OneClick Search will evaluate only your chosen portfolio size. So you need to identify which should be used when evaluating the results.

A OneClick Search builds a Multi-System, which is a number of individual Strategies traded together. The Strategy Performance tab provides filters for the individual Strategies that are tested. For those individual Strategies that pass the filters, they will be tested in the Multi-System to see if a higher score can be achieved using those Strategies. If a Strategy improves the score of a Multi-System, it will be included. The Portfolio Size for Strategies is used for evaluating the individual Strategies filtering. The Portfolio Size for the Multi-System is used for evaluating the combined Multi-System.

Pete
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