How Weighted Strategy Returns Form a Combined Performance Curve

Summary

The document explains how a multi-strategy backtest module combines strategies. It applies user-set weights to the return series from each strategy’s backtest and aggregates those weighted series into a single performance curve. The weight therefore applies to strategy returns, rather than directly to each strategy’s standalone evaluation metrics or raw trades.

The module is described as a way to combine and plot performance results. Whether the resulting portfolio improves returns or reduces risk depends on the selected strategies and their assigned weights; the document provides no backtest evidence or guidance for choosing weights. It also does not explain details such as return alignment, rebalancing, capital allocation, transaction costs, or risk constraints. Treat the combined curve as a weighted performance summary, not proof that a portfolio is investable or that diversification will improve outcomes.

Key ideas

• The module weights each strategy’s backtested return series.
• The weighted series are combined into one aggregate performance curve.
• The effect on return and risk depends on the component strategies and their weights.
• The document describes curve aggregation, not a method for selecting weights or validating portfolio performance.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.