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Combining Multiple Strategies - Portfolio Optimization
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Combining Multiple Strategies - Portfolio Optimization

How to optimally combine multiple strategies

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Vertox
Sep 25, 2023
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In the previous article we looked at a well known market effect, seasonal volatility, and constructed a strategy from it.

Seasonality and Volatility Risk Premium

Vertox
·
September 18, 2023
Seasonality and Volatility Risk Premium

The previous article was an easy introduction to Market Making, we ran some simulations and built intuitive understanding for how market making actually performs in real markets. In this article we are gonna look at a market seasonality and explain it’s outperformance.

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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.

If you end up enjoying this article consider getting the paid subscription, that way you can support me and I can write even more articles!
Here is a discount code for those interested: https://www.vertoxquant.com/62375e34


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

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