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Daniel UK1
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I question about PA PRO that i just started to play around with.
Letting PA chose systems based on lowest negative correlation is something that several people do, i cant find an option for this though.
Is there a way to chose a optimisation metric other than the existing in the bottom left cornet i GUI ?
Creating portfolio by lowest correlation is good, but that demands that initial selection is all tradeable/preferred/acceptable.
Chosing by Sortino is rather interesting, anyone done some testing on this ?
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admin
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Quote: Originally posted by Daniel UK1  | I question about PA PRO that i just started to play around with.
Letting PA chose systems based on lowest negative correlation is something that several people do, i cant find an option for this though.
Is there a way to chose a optimisation metric other than the existing in the bottom left cornet i GUI ?
Creating portfolio by lowest correlation is good, but that demands that initial selection is all tradeable/preferred/acceptable.
Chosing by Sortino is rather interesting, anyone done some testing on this ? |
I think choosing by portfolio np/dd ratio is better as it leads to best bang for buck, and least corelated DD
Ive not used sortiono
In red is what I think is best, but very valid to make w >1 ie 2
Thanks received (1):
+1 Daniel UK1 at 2020-06-26 01:52:30
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admin
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pa pro 20200120.2 gives a message when you start that it needs to be updated. It still works.
Regardless the new build has bug fixes and improvements
Installer file is here
https://trademaid.info/pa.html
files zipped up at the top of this thread.
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admin
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This is the updates of late.
Some features are not yet documented.
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admin
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Update, the new build says it needs to be updated. Ignore this. I will fix in the next build
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admin
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AUto update is now working. If all is well, nothing more than allow it to auto update when it starts.
You might have to be in windows adminstrator mode for this to work
Thanks received (1):
+1 coccigelus at 2020-07-02 02:59:11
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coccigelus
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Peter,
I am getting a discrepancy running the last version, where the Daily DD is higher than the intraday DD. I am running around 20 systems.
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admin
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| Quote: Originally posted by coccigelus | Peter,
I am getting a discrepancy running the last version, where the Daily DD is higher than the intraday DD. I am running around 20 systems.
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I agree
If possible reproduce the issue with less systems?
best to .7zip else zip the files. .7zip compress's much more and pa reads them too.
the upload the files here.
https://u.pcloud.com/#page=puplink&code=43j7ZGRyQoXiFzU0GdBX...
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coccigelus
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Peter,
I will try to see If I can detect the issue for each system in order to give You already problematic systems. This will assume that DD sum between
systems works ok though..
This will take a while..
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admin
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| Quote: Originally posted by coccigelus | Peter,
I will try to see If I can detect the issue for each system in order to give You already problematic systems. This will assume that DD sum between
systems works ok though..
This will take a while..
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a good methods is take the top 1/2 of your systems, and run the tests.
if the issue is still there, do the top 1/2 again. If its not there do the bottom half etc
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admin
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There us a 20200701 update to PA pro to stop the message saying you must update.
The auto update will not work unless you run PA pro as windows adminstrator.
The reason is windows wont allow write access to anything under c:\program files unless your windows administrator
exe file is now digitally signed which will keep anti virus programs happier
Thanks received (1):
+1 BlackBox at 2020-07-13 04:08:49
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admin
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New installer will be published tomorrow in-case anyone has issues with auto update
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admin
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New installer file at top of this thread. 20200701.1 build
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admin
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new version 20200803.1
This will fix a issue where pa closes after a few seconds.
Either isntall from here https://trademaid.info/sw/paprosetupv.20200803.10.exe
or just run as windows administrator, and allow program to auto update
Peter
Thanks received (3):
+1 coccigelus at 2020-08-04 05:16:25 +1 Daniel UK1 at 2020-08-03 03:07:48 +1 Bruce at 2020-08-03 00:36:20
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coccigelus
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Hello Peter,
I would like to propose a feature. Say We have a strategy that trade a number of stocks. But We consider that strategy even if traded with a lot of
charts (stocks) as just one. So I would like to group it (same a PA does). Then say just add it as just a single component to the NR of other
strategies traded.
Example: I have twenty strategies trading futures. Then just add the single component mentioned above. (which trade many stocks and so would be more
meaningful consider it as a single component). It would need PA create the file and then load with the futures strategies.
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admin
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| Quote: Originally posted by coccigelus | Hello Peter,
I would like to propose a feature. Say We have a strategy that trade a number of stocks. But We consider that strategy even if traded with a lot of
charts (stocks) as just one. So I would like to group it (same a PA does). Then say just add it as just a single component to the NR of other
strategies traded.
Example: I have twenty strategies trading futures. Then just add the single component mentioned above. (which trade many stocks and so would be more
meaningful consider it as a single component). It would need PA create the file and then load with the futures strategies. |
Im not clear what your asking.
Do you want gsb to trade one systems with identical parameters on 20 stocks at once?
GSB can do that already
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coccigelus
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Sorry Peter I try to explain once again. Let's say I have 10 strategy trading futures each with a stop of 2000$. PA offer great visualization of
everything.
Then I add a strategy that trade 20 stocks with a stop each of 100$ via position size . So for PA, in this case, would be thirty component total.
Instead of that I would like PA group the strategy trading all the stocks, and consider this one as a single component. So the total visualization of
DD correlation would be just as a single component when showed with the futures strategies. So I would add different component based exactly on this
thing. Run first the first strategy run thje twenty stock make the grouping, and after that use that component with the futures strategies.
EDIT: I am proposing feature for Portfolio Analyst Pro .
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admin
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| Quote: Originally posted by coccigelus | Sorry Peter I try to explain once again. Let's say I have 10 strategy trading futures each with a stop of 2000$. PA offer great visualization of
everything.
Then I add a strategy that trade 20 stocks with a stop each of 100$ via position size . So for PA, in this case, would be thirty component total.
Instead of that I would like PA group the strategy trading all the stocks, and consider this one as a single component. So the total visualization of
DD correlation would be just as a single component when showed with the futures strategies. So I would add different component based exactly on this
thing. Run first the first strategy run thje twenty stock make the grouping, and after that use that component with the futures strategies.
EDIT: I am proposing feature for Portfolio Analyst Pro . |
so pa pro sees this as one system?
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coccigelus
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Yes. See the pic. updated. As U can see The 4 etf there are quite meaningless taken alone. Say I would like them grouped into one single component
that I can evaluate together (the component) with other strategies. The component is just theoretically, how I have developed, a single strategy in my
ideal world.( risk splitted across NR of etf or stocks) So for instance make the file of the 4 etf . And then use this file with the other
strategies. Etc.
Then I make another strategy running on a basket of stock with the same risk of a single component. Group them make a single component/file and
evaluate the component (which is composed of X strategies running on stocks) with the other strategies. etc
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Bruce
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Hi Peter,
Just checking to see that I'm running the most recent iteration of PA, build_20200803.1?
thx.
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admin
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| Quote: Originally posted by Bruce |
Hi Peter,
Just checking to see that I'm running the most recent iteration of PA, build_20200803.1?
thx. |
thats the last released, but more work has gone in since.
1) Ability to cap say 3 es contracts, but have 5 systems.
There are negatives to this.
a) you cant tell what system traded first if its the same time
b) wins are highly correlated , and looses lowly correlated.
It means you get more of the losses, and less of the big wins
2) For unknown reasons, my own ts xml export files are corrupt on the end, and pa needed a fix to ignore this
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admin
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More has been done on the above feature, but its a manual process of choosing x max contracts, and it needs to be auto.
Here is my best gold system after 1 tick slippage and $2.40 commission per side.
Here is 8 systems, capped at one contract at any time.
note ave trade goes down, np up, longest flat period from 83 to 23 days, longest dd period is 1/2, drawdown is bigger but np/dd (recovery ratio) goes
from 26 to 44
Thanks received (1):
+1 Bruce at 2021-01-12 02:25:16
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coccigelus
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Hello Peter,
can You pls give a look at these two files:
GLD I am unable to import in PA (along with other files), goog report an intraday DD lower than the Daily.
I believe the issue with importing may be due to pyramiding - TS setting - while the Intraday DD mismatch I have seen also with other file without
scaling.
THX!
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coccigelus
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Also Periodical returns are wrong. You can check the equity to see the mismatch.
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admin
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I will get programmer to look at dd.
did this file have pyramiding?
the gold file doesn't import at all for me.
I will get programmer to look at this.
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