optimize_multi_strategy_portfolio
Build orthogonal MT5, TradingView, and quant portfolios: detect collinear strategies, split Live vs Reserve rosters, and size by Risk-Parity and Half-Kelly within max drawdown.
Instructions
Construct orthogonal MT5, TradingView & quant portfolios: detect collinear strategies, split Tier-1 Live vs Tier-2 Reserve rosters, and compute Risk-Parity & Half-Kelly lot sizing within your Max Drawdown budget.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| strategies | Yes | Array of candidate strategy objects ({name, symbol, baseLots, trades: [{date, pnl}]}). | |
| initialBalance | No | ||
| targetMaxDrawdownPct | No | ||
| maxPairwiseCorrelation | No |