SmartQuant Discussion

Portfolio optimization
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Author:  edwardgonen [ Mon Oct 26, 2020 6:39 pm ]
Post subject:  Portfolio optimization

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

Author:  skuvv [ Tue Oct 27, 2020 12:02 pm ]
Post subject:  Re: Portfolio optimization

1)we have the following types of optimizers:
optimizers.png [ 3.98 KiB | Viewed 6272 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;

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