question around optimised_position

[js190]

Hi Rob,
I understand what's going on when I call System.accounts.optimised_portfolio() minimising the tracking error against the ideal portfolio.

but what is happening when one calls System.accounts.portfolio()
How is the risk budget allocated? How does the system decide which instruments to allocate the risk to? Is it somewhat adhoc on a 'first come' basis?

Interestingly the Sharpe ratio is worse for the optimised_portfolio, vol is much higher, but I think this is a function of unoptimised buffers for my account size.

Also, when running System.accounts.optimised_portfolio() I get many Error Trade costs are zero, most likely have a zero cost somewhere when optimising at 2022-01-19 00:00:00 with previous positions in the tail end of the data set, is this fatal?

Thanks for this interesting code.

[robcarver17]

System.accounts.portfolio() just gives you the p&l of the ideal portfolio. It allocates risk to every instrument, but defaults to doing this with rounded positions. So the allocation is basically ad-hoc, on whatever happens to have an integer position. This could easily have a higher Sharpe Ratio, since by luck it might just have an allocation to things that have gone up a lot.

Not sure about fatal but it sounds like the instrument whose data appears last in your history has zero costs.