Thanks Samuel
“It sounds like you are generating a collection using the reactor and then adding them all to the portfolio and then checking OOS and not getting a profitable single asset portfolio? This isn’t too surprising really”.
That’s basically right, for example I create a collection of my best looking EURUSD 5M strategies, generated using the Reactor with above settings, and over data period 1.1.20 to 31.12.21. I load them into portfolio and calculate and check their collective profit figure at 31.12.21, then change data horizon to 1.2.20 to 31.7.22 ie 7 months extra data, but invariably the collection has lost money over the extra 7 month period.
I take your point re a multi asset portfolio. I am running my tests across balanced pairs. Then i load collections of EAs and check them in the Portfolio, asset class by asset class, but it is not as if I am seeing great results for say, EUR JPY, which i know will compensate for mediocre results for USDCHF. None of the collections seem to be showing continued profitability for the newly added 7 month data period.
Unless I am missing something the Portfolio feature can only be used for one asset at a time? You can’t create a portfolio showing EAs from USDJPY, EURUSD, AUDNZD etc at the same time?