Recent content by Arrow

Agreed. The probability of a bad event with combined models having low correlation is never zero. However, if we can achieve a 3.0 Sharpe, we don't have to leverage up if we are satisfied with consistent returns, and aren't shooting for the moon. With low leverage, the fat tail event...

Let me try to tackle number 2 first. 2. How should a risk profile of a single system reflect towards a portfolio of systems? (OK... I'll reword it... You have a portfolio of systems, how do you decide whether the system should be added to the portfolio) Let's assume you have already...

Several threads have speculated about the topic of combining multiple systems to create a better system. The latest 'Acrary is a genius' thread was getting off topic with the martingale stuff, so I decided to start a thread to review the subject. The fact of the matter is that combining...