Portfolio management

[milch]

Hello,

based on my experience with pairs databank and portfolio generation here are some suggestions/questions.

1. It would be great for someone who uses own pair preselection to set up a portfolio quickly by eg. copying a lits of pairs and not doing it manually.

2. Then it would be great to have a general settings for all pairs. Lets say select all pairs and set 50% margin for all of them instead of doing it individually. If portfolio has 50+ pairs it can save a lot of time and avoid errors.

3. Many pairs cannot be added to portfolio. I assume this is because at least one instrument already present in the portfolio - is it correct? I think it would be better to let decide user if he wants to have duplicates in his portfolio or not. From the point of risk management it is still OK to have same instrument in 2 pairs.
During preselection and scrolling through the databank, it would be great to have an indication whether instrument already present in portfolion and in which portfolio.

4. I did not find actual price filter for pairs selection. This filter would make life a bit easier since I dont want to trade instruments with price lower then lets say 10.

Thanks,
Andriy

[admin]

1) I agree. Any idea how this should work? CSV import for instance?
2) We are aware of this, already in TODO list (strategy settings profiles)
3) Correct. Duplicates won't never work on a single account. Why? Imagine you have AAA/BBB pair opened in long position. Then your AAA/CCC pair wants to open short position. What would you do? You would reduce the current AAA position if you proceeded. This could be solved only if IB supported position hedging (ability to hold long and short position in the same instrument at the same time), which they cannot because of NFA regulations.
4) On TODO list already (will be released this year definitely)

[milch]

1. Can be done in many ways. The easiest could be to define a format and import an ASCII-file. Separator - space or coma. Eg.:
BHP, BBL, ratio, 2., 0., 10, 5, etc.
PEP, KO, kalman, , , , etc.
After imported normal visualization occurs and user can still go through and check if everything is ok.
Your data bank is great but I also prefer to do automatic sorting and additional optimization. That is the reason.
3. Yes, you are right.

Thanks

[admin]

2) just released...you can copy settings from strategy and paste to multiple strategies

[milch]

Thanks - looks good and makes life easier.
What would be really nice, is to have priorities on pairs in portfolio. This can be done in advance, based on backtest results or it also can be done based on e.g. the current potential profit value.
Regards,
Andriy

[admin]

Yes, this is already part of the AI Portfolios project. We are experimenting with various possibilities of how sort pairs for trading.