Jaewon this is great! In other discussions I saw that there is an option to weight signals (and strategies mix?) either by inverse volatility or equal weight.
What about momentum over volatility or momentum over correlation matrix? The former is the Kelly solution for a single asset strategy and the latter for a multi-asset strategy.
Jaewon this is great! In other discussions I saw that there is an option to weight signals (and strategies mix?) either by inverse volatility or equal weight.
What about momentum over volatility or momentum over correlation matrix? The former is the Kelly solution for a single asset strategy and the latter for a multi-asset strategy.
https://www.vertoxquant.com/p/kelly-criterion-in-practice
Those are not supported as a weighting method, but can be an interesting addition :)