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.
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.
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
When to combine different strategies
What to optimize for?
Portfolio Optimization Methods
Position Sizing via Monte Carlo
Final Remarks