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Posts: 126 to 133 of 133

126

Re: Portfolio Expert

You don't need any external services for the Portfolio Expert. It calculate all signals locally in MT.

Re: Portfolio Expert

Popov wrote:

You don't need any external services for the Portfolio Expert. It calculate all signals locally in MT.

ohhh, wow, that is new? Last year i have needed this url for running the portfolio ea smile

Re: Portfolio Expert

Assume I have a portfolio expert containing three strategies. And let's assume that at the start of a new day the first strategy opens a long position of 0.1 lots. At the same time the second strategy opens a short position of 0.1 lots. Simultaneiously, the third strategy opens a long position of 0.1 lots. So now I have three positions open. Two are long and one is short. Overall I'm long 0.1 lots. However, I paid the spread/commission for three different positions when, in effect, what I have now is a long 0.1 lot position (since the other two positions cancel each other out). This seems wasteful to have strategies open positions that cancel each other out. Not only have I tied up margin on my account, but I've paid my broker more fees that I needed to. Instead of opening the three positions described above, I could have just opened one long positions and avoided the fees and margin resulting from the other two strategies.

Is there a way to modify the portfolio expert so that it calculates the net of all positions that each strategy wants to have open, and just performs one trade for that amount?

The only thing I can think of is to run the portfolio expert in a demo, then create a custom EA to monitor the open positions of that demo account, and trade the net sum of all those open positions in another demo account... and then provide a signal on that demo account that I can subscribe to in my live/real account. But this seems like a hack.

Any suggestions here? The portfolio experts seem highly inefficient in the sense that they open lots of trades in the opposite direction at the same time. How can we resolve this to stop wasting money on spreads and commissions?

129

Re: Portfolio Expert

Sid, this is something I'm thinking for 5 years.

Now the Portfolio Expert is a combination of individual strategies that are combined in a single Expert Advisor.

The system you are thinking for is different. I posted several times ideas of a new application that trades only the aggregate position only, but there was no huge enthusiasm in the community.  Anyway, I plan to release such an application in the near future.

130 (edited by hannahis 2020-02-20 12:09:33)

Re: Portfolio Expert

Popov wrote:

Sid, this is something I'm thinking for 5 years.

Now the Portfolio Expert is a combination of individual strategies that are combined in a single Expert Advisor.

The system you are thinking for is different. I posted several times ideas of a new application that trades only the aggregate position only, but there was no huge enthusiasm in the community.  Anyway, I plan to release such an application in the near future.

Here are just some thoughts...

If we only look at trading positions in terms of Long (Buy) vs Short (Sell) then it is indeed wasteful to have "extra" trading positions that cancel each other out.

However, each strategy contains 2 Components 1) Open entries and 2) Close entries and Strategies have different trading objectives (scalper, ranger, breakouts, position trade etc), in other words, strategies can either be for short term or long term trading.  Consequently, these strategies have different closing timing (purpose). 

Imagine I would like to have a Long position with a trade duration of 1 day and a short position with a trade duration of 1 wk.  Since these 2 positions (Long and Short) cancel each other out, I ended up missing out 2 opportunities to make money.  One trade for ranging and another trade for position trading.

For example, I may have a Buy position with the aim to earn a couple of small pips and have another opposite position (Sell) that is position trading for long term gain.  Thus while I may open a Long term trade (Sell, position trading), I may at the same time want to take advantage of the ranging markets to open Buy trades (for the short term).  These short term trades duration are shorter than the long term trade, thus these positions will be closed earlier than the long term position, which may take weeks or months to close.

Therefore, combining 2 different strategies (Long and Short) and crossing out each other (with no trades) will defeat the purpose of developing different strategies as a means to diversify the portfolio (with different trading strategies)

Re: Portfolio Expert

I think H has a valid point, this would have to be carefully constructed

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

132 (edited by ats118765 2020-02-20 16:07:37)

Re: Portfolio Expert

hannahis wrote:

Here are just some thoughts...

Therefore, combining 2 different strategies (Long and Short) and crossing out each other (with no trades) will defeat the purpose of developing different strategies as a means to diversify the portfolio (with different trading strategies)

Great points Hannah

Here is a visual example.

https://atstradingsolutions.com/wp-cont … Trader.png

In this trend trading example we have been riding longs for say multiple years with a solid uptrend....but now the trend is turning and we are a long way from our long exits. Normally we would have to sacrifice the unrealised profits when the trend turns...but if we allow for short trades during this phase we 'hedge' the equity  curve during trend turning points and prevent a significant deterioration in equity. This significantly smooths the equity curve for long term trend traders.

So please if this option is included....then make it optional. :-)

Diversification and risk-weighted returns is what this game is about

133 (edited by hannahis 2020-02-20 18:25:25)

Re: Portfolio Expert

sidmcfarland wrote:

The only thing I can think of is to run the portfolio expert in a demo, then create a custom EA to monitor the open positions of that demo account, and trade the net sum of all those open positions in another demo account... and then provide a signal on that demo account that I can subscribe to in my live/real account. But this seems like a hack.

Any suggestions here? The portfolio experts seem highly inefficient in the sense that they open lots of trades in the opposite direction at the same time. How can we resolve this to stop wasting money on spreads and commissions?

Hi Sid,

Select the Best EA

You may want to consider examining your trades performance in greater details.  If your portfolio opens lots of "redundant" trades that eventually cross each other out.  Surely at the end of the day, there are some EA that shows better results than others.  Simply select the best and reduce the number of EA in each Portfolio, you will then reduce redundancy.


Delete Bad EA from Portfolio Expert (PE)

When you have 2 EA with opposition directions, won't one of them emerged as the winner (eg if both are short term trades) or ideally both emerged as winners (one closed earlier, short term, while the other waited for the trend to turn around and take a kill shot, earn you pips).

In the case of similar trading strategies, those EA that opened the wrong opposite trades will have poorer performance statistics as compared to those opened in the correct direction.  Hence over the time, you will eventually delete those poor performing EA out of the Portfolio, hence reduced the issue of having too many redundant trades.


Examine EA's Trade Performance Metrics

If you were to save your trading performance statistics in excel file and compare their weekly performance, you may also noticed a number of similar EA that are highly coorelated, which you may also want to consider trimming the number down.  Or using the EAS tool, decrease the Correlation Analysis Threshold.  However, do bear in mind, if you decrease the Correlation Analysis Threshold, you would also ended up with EA with different opening/closing rules which may ended up with more opening opposite direction trades. 


Increase or Decrease Correlation Analysis Threshold

If you really don't want to have so many trades that cross each other out (as a means of diversification), you may want to consider increase your correlation analysis threshold to tolerate EA with similar rules.



Select Portfolio Expert based on Metrics

I would prefer to observe my trade performance and delete the EA according to their performance instead of "blindly" crossing them out using a net trading sum software/application and I would then be clueless which is a better EA to keep in the Portfolio. 

At the end of the day, we still need to evaluate each EA's performance and decide which to delete and which to keep.  By crossing the EA out of trades, I will never know the EA's (true) performance metrics and it would make my EA selection task very difficult.  And won't knowing EA's true trading performance helps us make better selection decision?

Once you have made your (careful and detailed) selection of EA to be included in your Portfolio EXpert (based on real or demo performance metric), you would have eventually trimmed and removed all other unnecessary redundancy and you will not depend on any application/software to help you cross out the net difference.

Therefore, your experience of having so many unwanted redundancy in your Portfolio Expert only goes to show that you are still at the early stage of your Portfolio Expert (PE) selection and hence your PE is rather "raw and untested".  Do give yourself some more time to observe their trade performance and based on their trading metrics (preferably demo account), you will find it easier to decide which EA to keep and which to delete and your early woes will be unfounded and you will then realised that having an application to cross out the trades would be unnecessary, if not, detrimental.

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