OmniVest Forum : OmniVest Pro Tools Beta : PW Should Choose How Many Strategies to Enable

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OmniVest User Forums OmniVest Pro Tools Beta PW Should Choose How Many Strategies to Enable		Last Activity 10/7/2016 12:00 PM 1 replies, 935 viewings

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Steve2

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Joined: 10/11/2012
Location: Annapolis, MD

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Subject : PW Should Choose How Many Strategies to Enable
Posted : 11/17/2014 2:59 PM
Post #34501

The ECA Dump data is very interesting. The one thing that jumps out at me is that returns would be much better if PW could vary the number of strategies that are enabled each period. I ran a test that was selecting 20 of 23 strategies using several EFs. Looking at the selected strategy buildup from ECA Dump showed that frequently fewer than 20 strategies performed the best for a given period but the exact number varied from period to period.

This would suggest that it would be beneficial if a user could tell PW to select between X and Y strategies for each period and let PW choose the best number. This would require no extra computation given the way PW currently builds up the strategies.

Also, it would be useful if ECA Dump could include a small table that showed a count of the number of strategies that provided the best performance for each period. You can determine this yourself from the current data but it's painful. This would help users determine good values for x and y by making one run that selects n-1 of n strategies.

Steve

[Edited by Steve2 on 11/18/2014 10:09 AM]

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AlanD

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Joined: 7/1/2015

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Subject : RE: PW Should Choose How Many Strategies to Enable
Posted : 9/4/2016 12:31 PM
Post #36388 - In reply to #34501

I think Steve's input regarding strategy selection variability is valid. Did this ever get implemented?

Alan

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