SmartQuant Discussion

Automated Quantitative Strategy Development, SmartQuant Product Discussion and Technical Support Forums
It is currently Mon Dec 09, 2024 12:41 am

All times are UTC + 3 hours




Post new topic Reply to topic  [ 2 posts ] 
Author Message
 Post subject: Portfolio optimization
PostPosted: Mon Oct 26, 2020 6:39 pm 
Offline

Joined: Mon Oct 04, 2010 5:13 pm
Posts: 363
Hi,
It's been a while since last time I've checked the status with latest OQ Development. So I have a couple of questions about functionality:

1. Do you have genetic optimization for a strategy?
2. Do you have a walk-forwarding analysis to use with the said genetic optimization?
3. And most importantly - do you have a portfolio optimization function - i.e. ability to optimize many strategies running on various instruments genetically and simultaneously?
4. Would be also nice if you do portfolio optimization based on daily profit/loss.

Thanks in advance
E


Top
 Profile  
 
PostPosted: Tue Oct 27, 2020 12:02 pm 
Offline

Joined: Wed May 05, 2010 9:49 pm
Posts: 583
Hello,
1)we have the following types of optimizers:
Attachment:
optimizers.png
optimizers.png [ 3.98 KiB | Viewed 21346 times ]


2)You can implement it yourself in the scenario. We have not this feature.
But it can be complicated, depending on what you want.

3)I'm not sure what you mean, can you please explain?
You can setup multiple independent strategies under one root strategy for optimization.
We have genetic optimizer. Our optimization works in parallel with a configurable degree of parallelism.

4)You can override Objective in the strategy to make any optimization metric.
By default it returns portfolio.Value;


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 2 posts ] 

All times are UTC + 3 hours


Who is online

Users browsing this forum: No registered users and 1 guest


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB® Forum Software © phpBB Group