How to combine multiple strategies

Build a portfolio from distinct return drivers, not a pile of bots that all respond to the same market move.

Start with distinct behaviour

Combining strategies is useful when their return streams, holding periods, markets, or failure modes are meaningfully different. Two parameter variations of the same trend rule may increase trade count without adding much diversification.

Describe what each system is expected to do and when it is expected to struggle before looking at combined performance.

Build the portfolio in layers

First verify each system alone under the same cost and data conventions. Then combine them using fixed allocation rules. Finally stress the combined portfolio with correlated losses, execution degradation, and delayed signals.

Use a common calendar and return convention.
Align open exposure and realised results correctly.
Review marginal contribution to return and drawdown.
Set a portfolio-level risk stop independent of individual bots.

Avoid diversification theatre

A portfolio can look smoother because of a short sample, favourable timing, or a hidden leverage increase. Compare the combined result with a risk-matched single strategy and inspect the worst joint periods.

Diversification is a hypothesis to validate, not a property granted by having more files in a folder.

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