This chapter explores two ways of mixing anomalies to reduce risk: mixing the rules to create a new strategy, and investing separately in them with money management rules. Various blends of previous strategies are proposed and simulated. The chapter ends with a discussion about probabilities, luck and their impact on one’s portfolio.
When identifying valuable anomalies, there is an irrepressible temptation to try to mix them.
The Top 6 sectors strategy seen previously already combines four patterns: