Combining Multiple Strategies - Portfolio Optimization

How to optimally combine multiple strategies

In the previous article we looked at a well known market effect, seasonal volatility, and constructed a strategy from it.

In this article we are gonna look at how you can combine multiple different existing strategies and when it actually makes sense to do so.

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Table of Content

1. When to combine different strategies

2. What to optimize for?

3. Portfolio Optimization Methods

4. Position Sizing via Monte Carlo

5. Final Remarks