Combining several strategies works if they don't move together. But picking the combination that did best in the past is a trap: the best combinations of 2019-2026, which blew up no accounts, blew up between 13% and 32% in years that weren't used to pick them.
Combining helps… if the pieces are different
With pieces that each have an edge on their own, a portfolio gives a more stable result: one piece's bad streaks are offset by another's. Twenty years of Nasdaq (2006-2026) with costs, 1 contract per piece (2 on one of them):
| Per year | Worst drawdown | Sharpe | Negative years | Worst year | |
|---|---|---|---|---|---|
| The best strategy, alone | $2,381 | $3,284 | 0.98 | 3 | −$1,334 |
| All six together | $7,791 | $6,270 | 1.42 | 2 | −$790 |
With six pieces you make more than three times as much with less than twice the drawdown, and the worst year is less bad than the best strategy's alone. But only if the pieces don't move together, and that's measured with the correlation of daily results:
- A strategy that trades the session close has a correlation of almost 0 with the morning ones: it really diversifies.
- Two different opening range breakouts had 0.63 with each other: almost the same strategy with two names.
- An opening breakout added to a momentum strategy "to diversify" had 0.69 with it. Together, profit per dollar of drawdown got worse: from 7.51 to 5.83.
Rule of thumb: if two pieces have a daily correlation above 0.6, keep one.
The trap: picking the portfolio that did best
With six pieces and 1, 2, 3 or 4 contracts each there are thousands of combinations. Picking the one that did best is exactly the multiple comparisons problem. We checked it in two ways.
Picking with 2019-2022 and looking at 2023-2026. The 15 fastest portfolios to pass in the selection period then blew up 21% of accounts with APEX rules and 28% with Lucid's. The relationship between how fast they passed before and how much they blew up afterwards was negative (-0.59): the faster in the past, the more it blew up in the future. Those picked with another criterion, "blow up no account in the selection period", blew up between 0% and 8% afterwards.
Picking with 2019-2026 and looking at 2006-2019 Nasdaq, with 3,645 contract combinations for a Lucid Flex 50K:
The whole team at 1 contract passed 80% in 2019-2026 and only 53% in 2006-2019. A portfolio we ourselves had recommended for being fast blew up no account in 2023-2026, but on 2006-2019 Nasdaq (with the 2008 crisis inside) it blew up 18%. What blew up nothing in either test took about a year to pass: safety in exchange for time, with no shortcuts.
The illusion of the recent
What's designed on the last few years shines in the last few years. 2019-2026 Nasdaq has been especially bullish and volatile, and that inflates almost everything that follows trends, which is exactly what works. Plan with the hard regime, not the recent one. If your portfolio only passes with the last few years' market, expect it to pass less when it changes.
How to build a portfolio without fooling yourself
- Only pieces validated separately. A portfolio doesn't turn pieces with no edge into one with an edge: combining the four best TradingView strategies was worse than any of them alone (we covered it here).
- Measure the daily correlation and drop pairs above 0.6.
- Choose the weights with a safety criterion ("blow up nothing in the selection period"), not a speed one.
- Test the chosen portfolio on another period, with a different regime, only once.
- Count the combinations you try: each one is a chance to find a winner by luck.
- Look at the net position. If three pieces trade the same morning, you can have 3 or 4 contracts at once, and the trailing drawdown doesn't care which strategy the loss came from.
- Accept that safe is slow. If a portfolio passes fast and never blows up in every test, check the math.
How it was calculated
Simulated evaluations with the 2026 APEX and Lucid rules, picking the weights in one period and testing them in a different one (2019-2022 versus 2023-2026, and 2019-2026 versus 2006-2019 Nasdaq). Correlations of each piece's daily result. We don't publish which strategies or weights make up each portfolio. Simulated and hypothetical results.
Simulated and hypothetical results, with the limitations that implies. Not investment advice. Firm rules change: check them on each firm's website. This article contains no affiliate links.