Genetic multi-strategy optimisation

In plain terms

A genetic algorithm that searches for a robust way to combine several strategies into one portfolio.

How it works

Allocations are evolved against a risk-adjusted objective, with guards against fitting the search to a single history.

What it’s tested against

Out-of-sample with overfitting checks; judged on whether the combination is more robust than its parts.

Data

Strategy return series.

Researched — portfolio combination by search, held to the bar.