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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

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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Publisher Resources

ISBN: 9781789348347Supplemental Content