November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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Portfolio optimization
In the previous section, we discussed the advantages of having a diverse set of trading strategies that rely on different trading signals. Here, each trading strategy is profitable by itself, but each one's performance is slightly different depending on market conditions, market participants, asset class, and time periods, which are, to a large extent, un-correlated to each other. To recap, the benefits are greater adaptability to changing market conditions/participants and a better risk-versus-reward profile for the entire portfolio. This is because all strategies do not lose money simultaneously, which would lead to very large drawdown across the entire portfolio of trading strategies deployed to live trading markets. ...
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