Topic: Testing Question -- Comparing Portfolio EA with Individual Strategies

alamehmazen123 and I have been testing Portfolio Maker and have observed certain behavior that leads us to believe that a portfolio EA (with 40 strategies trading on a single chart) behaves differently than the same 40 strategies trading in their own charts.  I think there may be a timing issue related to how many trades can be executed per chart per tick.

I am curious to learn if anyone has directly compared a portfolio EA created by EA Studio with the corresponding strategies trading in their own chart.  That is, within a single MT4 terminal, open 41 M5 charts and attach 40 individual, EA Studio strategies and one EA Studio-generated portfolio EA.  And then monitor their trading behaviors.  Do they mirror one another?  I'll bet a quarter (0.25 USD) that the portfolio EA trades less frequently than the corresponding individual strategies.

I don't think the portfolio EA necessarily misses trades, but I have noticed that on certain ticks where 5 or 6 individual EAs will open a trade, the portfolio EA (one created by Portfolio Maker, not EA Studio) will open only 1 or 2 trades.

I'd do the test myself except (a) I'm primarily using FSB Pro these days, and (b) I'm feeling lazy...

Re: Testing Question -- Comparing Portfolio EA with Individual Strategies

The current Portfolio Expert is market as experimental on a reason. Because it works on the cloud, the EA sends the required number of bars to the server for calculations. This works for most of the cases, however if the strategies use Exponential Moving Averages (or indicators based on EMA) there will be a slight difference of the signals because of the limited length of the data series. On the other hand, the single EAs use the full data series. EA Studio has a hidden feature that cure such cases sometimes, but it is not available at all cases.

This discrepancy will be eliminated when we provide locally calculated portfolio. You can expect it next month.

3 (edited by sleytus 2017-11-10 20:54:23)

Re: Testing Question -- Comparing Portfolio EA with Individual Strategies

Thanks, Popov,

I'm looking forward to the next version of EA Studio that performs the calculations locally.