Portfolio Diversification
1 replies
shawnonghs
6 years ago #117272
Hi guys,
I’m just starting to be able to generate strategies which are able to pass even the walk forward matrix test.
Moving ahead, how should I create a diversified portfolio? How many strategies should I have per timeframe per symbol?
Thanks guys.
qattack
6 years ago #143858
There is no set number per timeframe. It’s (eventually) more important to create strategies for various instruments.
In any case, you want to use strategies that are not highly correlated. You can run them through the portfolio analyzer to determine correlation. (Retest Strategies>>>Create Portfolio)
Eventually, it would be desirable to have as many different strategies as possible with the least amount of correlation (assuming a sufficient account size, of course).
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