Close menu
Home
Derek Melchin outside wearing a hat

Derek Melchin

youtube logo linkedin logo twitter logo gmail logo

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.

youtube logo linkedin logo twitter logo gmail logo