Combining Two Futures Strategy Backtests into a Portfolio
Summary
The document shows a simple workflow for evaluating two futures strategies together. It runs separate historical simulations for an ATR-RSI strategy on an equity index contract and a Bollinger channel strategy on a metal contract. Each run specifies its own date range, bar interval, transaction cost rate, slippage, contract size, price increment, starting capital, and, for the second strategy, a fixed trade size.
The resulting performance data are added together, rows without complete values are removed, and the combined series is passed to a statistics and charting routine. This illustrates how separate strategy outputs can be brought into a portfolio-level view. The example does not explain how the data frames are aligned, whether returns or positions are being combined, or how capital and exposure are allocated across the strategies. It provides no textual performance findings or robustness checks, so it is a workflow illustration rather than evidence that the combined portfolio is profitable.
Key ideas
- Separate backtests can be configured with strategy-specific market and cost assumptions.
- The example combines performance outputs from an index futures strategy and a metal futures strategy.
- Missing observations are removed before portfolio statistics and charting are performed.
- A portfolio result depends on alignment, aggregation, and capital allocation choices that are not explained here.
Tags
From a private course collection; the original is not published.