Steps
- Open the Allocation card. On a strategy split into Risk-On and Risk-Off, each profile has its own method, and you change one at a time.
- Press Change beside the current method. The picker opens as "Choose allocation method" — "Method for Risk-On" or "Method for Risk-Off" on a split strategy — with the current method marked Current.
- Narrow the list with the Filter by goal chips, or type in Search methods. What each goal means is on the allocation method page.
- Read the marks before choosing: how slow a method is to compute, and the plan that includes a method your plan does not.
- Select a method and press Apply with its name. Whenever you switch to a different method, the picker first warns "The current method’s specific parameters will be reset." — except between MPT (Markowitz) and Black-Litterman.
- Set the new method's own settings on the card; each method's page lists them.
Done. The card names the method you applied, and the next backtest weights the holdings with it.
What do the speed and plan marks in the picker mean?
- Speed. Methods that take noticeably longer to compute say so: Max diversification, Min MAD, Min CVaR, Scenario CVaR, CDaR, EVaR and Robust worst case are marked "slow to compute", and Stochastic programming "very slow to compute". Every other method carries no mark.
- Plan. A method your plan does not include stays in the list, tagged with the plan that includes it, rather than being hidden. See what each plan includes.
Does a method I am not using still affect my results?
No — only the method you have selected executes, and every other method's settings are inert. Each level holds one selected method at a time, and switching to a different method resets the previous method's own parameters: the picker warns "The current method’s specific parameters will be reset." before it applies the change. The one exception is moving between MPT (Markowitz) and Black-Litterman: Black-Litterman is built on MPT and shares its settings, so they are kept and the picker shows no warning. Nothing a non-selected method was configured with reaches the backtest.
GlossaryAllocation and allocation method · Equal weights · Risk-On and Risk-Off · MPT (Markowitz) · Black-Litterman · Strategy · Combined · Backtest · Max diversification · Min MAD · Min CVaR · Conditional drawdown at risk · Entropic value at risk · Robust worst case · Stochastic programming · Instrument