How to select and combine strategies to optimize your portfolio
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Hello everyone, currently I am looking for a way to select and combine strategies to create a portfolio with effective out samples. I would like to ask:
Selection: Besides choosing strategies with high sharpness, low correlation, low turnover, high return, and low drawdown, are there any other criteria to be able to choose more effective strategies?
Combine: Besides using equal weight, are there any other effective ways to combine? If so, please give me more documents.
Testing: Is there any way to test the quality of the portfolio (Aside from comparing it with equal weight)
Thank you
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@illustrious-felice Hi, it is not easy for a single strategy to fulfill all the requirements you ask in the selection phase. These are all important criteria.
As the Sharpe ratio is the ratio of the mean return (in the numerator) and the volatility (in the denominator), equal weights are not always the best option: correlations have a strong impact when it comes to combining the volatilities of different systems.
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@support. Thank you. So as I understand it, I will give higher weight to strategies with lower correlation and vice versa, right? According to your answer, I understand that I can also give high weight to low-volatility strategies and vice versa. So what about equal risk portfolio? In your opinion, is this an effective way to optimize your portfolio?
