Question:
Let's say, for the purpose of exercise, we have one strategy that offers a profit factor of 1.50; And another strategy that has a profit factor of 1.00 (BE).
However these two strategies are almost inversely correlated to each other.
If the above strategies are run together at identical sizing, the combining expected profit factor should be?
a. more than 1.50
b. from 1.25 to 1.50
c. less than 1.25
What say You?
Let's say, for the purpose of exercise, we have one strategy that offers a profit factor of 1.50; And another strategy that has a profit factor of 1.00 (BE).
However these two strategies are almost inversely correlated to each other.
If the above strategies are run together at identical sizing, the combining expected profit factor should be?
a. more than 1.50
b. from 1.25 to 1.50
c. less than 1.25
What say You?