The Portfolio Filtering Conditions section within the Portfolio Builder settings allows users to apply specific restrictions to the strategies used in portfolio construction. By setting these conditions, users can ensure that only strategies meeting certain performance and risk criteria are included in the portfolios.
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Portfolio Filtering Conditions
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Number of Trades
Description: This restriction sets a limit on the number of trades executed by the strategy.
- Purpose: Limiting the number of trades can help manage transaction costs and ensure that strategies are not excessively frequent or sparse.
- Use Case: Use this condition to filter out strategies that trade too frequently, potentially incurring high transaction costs, or those that trade too infrequently, possibly missing out on opportunities.
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Ret/DD Ratio
Description: This restriction applies to the Return to Maximum Drawdown ratio, a measure of the return generated by the strategy relative to its maximum drawdown.
- Purpose: This condition helps ensure that strategies included in the portfolio offer a favorable return relative to the risk of drawdown.
- Use Case: Apply this filter to prioritize strategies that provide a high return for each unit of risk taken, enhancing the risk-adjusted performance of the portfolio.
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Return %
Description: This restriction sets a limit on the strategy's return percentage.
- Purpose: Ensuring a minimum return percentage helps maintain a baseline level of performance for strategies included in the portfolio.
- Use Case: Use this condition to filter out strategies that do not meet a minimum return threshold, ensuring that only sufficiently profitable strategies are considered.
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Max Drawdown %
Description: This restriction sets a limit on the maximum drawdown percentage of the strategy.
- Purpose: Limiting the maximum drawdown helps manage risk by excluding strategies that experience significant declines in value.
- Use Case: Apply this filter to ensure that the strategies included in the portfolio have acceptable risk profiles, preventing excessive losses.
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Profit Factor
Description: This restriction applies to the strategy's profit factor, the ratio of gross profit to gross loss.
- Purpose: Ensuring a minimum profit factor helps maintain a level of profitability relative to losses.
- Use Case: Use this condition to filter out strategies with low profitability, ensuring that only those with favorable profit-loss ratios are included.
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Each Month Return %
Description: This restriction sets a limit on the monthly return generated by the strategy.
- Purpose: Limiting the monthly return helps ensure consistent performance across different periods.
- Use Case: Apply this filter to prioritize strategies that generate stable monthly returns, avoiding those with significant month-to-month variability.
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Summary
The Portfolio Filtering Conditions section in the Portfolio Builder settings allows users to apply specific performance and risk criteria to the strategies used in portfolio construction. By setting conditions on the number of trades, Return to Maximum Drawdown ratio, return percentage, maximum drawdown percentage, profit factor, and monthly return percentage, users can ensure that only strategies meeting these criteria are included in the portfolios. This helps in constructing portfolios that align with the user's performance goals and risk tolerance.