Bug with Portfolio builder

Hi SQ/QA Team,

 

I have been running QA building a set of portfolios (that contain exactly 5 strategies) with correlation set to max 0.5

 

However, when I compute the correlation on some of the portfolios created using the same correlation settings as the builder, some of the correlations are much bigger than 0.5

 

Can you try this, and see if you have the same “bug”?

 

Thanks,

 

Mike

Hello,

 

do you mean when you compute correlations using the Analyze – Portfolio correlations you get much higher correlation values then used required by setting in Portfolio master? I tried that too and it works good. Can you provide such a portfolio report?

Hi,

 

Yes, compute portfolio via the compute button in Analyze.  Not all portfolios differ from the value set in Portfolio Master when building the portfolio, but many do.

 

 

One of the portfolios generated, this is okay:

 

 

However, this portfolio is well above 0.5:

 

 

 

I would suggest you try it, generate lots of strategies, order by fitness and then measure the correlation again in Analyze.  Some will be bad.

 

Cheers,

 

Mike

Hi,

 

Have you tried retesting the output of the portfolio builder, because for me it doesn’t work as described.

 

Mike

So no support on this major issue then?

 

Basically unless I’m being stupid, the portfolio builder creates portfolios that ignore the correlation settings.

Hello mikeyc, I have forwarded your question to Mark. He will let you know

It will be even worse when you trade them live. Sorting them  with correlation on profit/loss and day seems not to work at all as i thought. Seems strategies that do not open on the exact same pip or closes on the exact same pip are deemed to be un correlated. So i can have 3 strategies open on the exact same pip evrytime but they have diffrent stops and targets and are there for deemed to be uncorrelated. They are very correlated to me thought. But you can use open trades instead and it works better but then i can only find 4 of 600 that have a correlation at 0.1.

Hello mikeyc, I have forwarded your question to Mark. He will let you know

 

No word on this? 

Im waiting too

Hello all,

 

we just released an auto-update for Portfolio Master.

There was a bug which caused that correlation settings had no effect.

 

Sincerely,

Tomas