Strategy Weights Exceed 100%?

[gdoscher]

Quick question I'm hoping someone might know the answer to: Can the strategy_weights in the private control config exceed 100%? So for example if I want to stack another strategy on top of the trendcarry system, could I set one at 70% and the other at 50% or would I have to set them proportionally to add up to 100% and increase the vol targets of the subsystems to try and hit the overall portfolio vol target? Thanks for any insight here.

[craigmediaservices]

I don't know if that's possible, but it's definitely not consistent with the system structure.

You definitely want to use the second method, which is adjusting individual systems to your volatility target. Depending on your second system, you'd also want to simply add the rules into the first system to take advantage of how the weighting methods function, correlations, and scaling.

[gdoscher]

Thanks Craig. And yes, ideally the second strategy would be added to the first system so it can wash out trades and manage vol across the whole book, but likely due to my own subpar coding skills, I've had difficulty creating trading rules that only apply to a specific set of instruments and exclude the rest. The second strategy only works on a subset of the roughly 150 instruments I trade, and it will work as a standalone strategy but I've not yet managed to create it as a rule in the first which doesn't crash the backtest but will keep at it!

[craigmediaservices]

You can specify weights to different rules per instrument, or run different systems with different instruments and rules, but Mr. Carver doesn't advocate for excessive fitting of rules to instruments - though the default optimisation does apply some methods to reduce allocations to poorly performing rules over time.