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Derek Melchin outside wearing a hat

Derek Melchin

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Alpha Streams Portfolio Optimization

If you have a portfolio of strategies, how much should you allocate to each strategy? In this presentation, I demonstrate how to optimize the weights in a portfolio of crowd-sourced strategies to maximize the Sortino ratio of the portfolio.

To clone the optimization code, see the Alpha Streams Portfolio Optimization Notebook post in the QuantConnect forum.

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