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Equities portfolio analysis #477950
08/19/19 08:51
08/19/19 08:51
Joined: Nov 2014
Posts: 6
K
kkfx Offline OP
Newbie
kkfx  Offline OP
Newbie
K

Joined: Nov 2014
Posts: 6
HI,

I tried to use Zorro to trade equities e.g. SP500. The current problem I have is when I use WFO analysis, those charts shown after click result is by Symbol by Parameter, instead of what I thought by the entire portfolio by parameter. Is there an example or topic that I can refer how to make the analysis WFO by the entire portfolio ? I have basically followed Workshop 6 example. Tq.

Re: Equities portfolio analysis [Re: kkfx] #477970
08/20/19 09:00
08/20/19 09:00
Joined: Jul 2000
Posts: 27,225
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,225
Frankfurt
In workshop 6 any asset and algo has a separate parameter set. So there cannot be a parameter chart of the entire portfolio.

Re: Equities portfolio analysis [Re: kkfx] #477988
08/22/19 09:51
08/22/19 09:51
Joined: Nov 2014
Posts: 6
K
kkfx Offline OP
Newbie
kkfx  Offline OP
Newbie
K

Joined: Nov 2014
Posts: 6
In this case, how do I evaluate the entire portfolio instead of symbol by symbol as there will always be parameter set (WFO) in TRAIN mode ? Or I just have to run TEST after TRAIN and Zorro will automagically use the best parameter set of each symbol in TEST mode and from there I am able to judge the result of the the entire portfolio ? Or I have missed the concept of training portfolio equity in Zorro ?

If so, in TRADE mode I assume Zorro will use the last cycle (SelectWFO = -1) parameter set of symbol A (in symbol A par file) to trade symbol A, and parameter set of symbol B to trade symbol B ?

Re: Equities portfolio analysis [Re: kkfx] #477989
08/22/19 10:05
08/22/19 10:05
Joined: Jul 2000
Posts: 27,225
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,225
Frankfurt
Yes, run a test to evaluate the portfolio performance. The assumption about trade mode is correct.


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