I use RW advanced module. As mentioned in the book FINDING #1 STOCKS by Kevin Matras, I find combining strategies gives better results (higher returns for the same or lesser risk) in contrast to when these strategies are traded independently. I also find combining a strategy or strategies which have lower positive correlation with the market with strategy or strategies with higher positive correlation with the market yield the best results. For example, I have a strategy which has a positive correlation of 0.36 with the market return and another strategy which has a positive correlation of 0.75. When I combine these strategies together, the risk adjusted return is much better than either strategy alone on backtesting over 10 years.
Does it sound correct to other forum members? Are there any other parameters (besides the strategy's correlation with the market) to consider before combining strategies?
I also would like to know how to create a strategy to trade GLD using RW? In other words I would like to include GLD as one of the asset classes in the portfolio (gold typically has a low positive correlation with the market <0.20) and combine it with another stock strategy which has a higher correlation with the market and see how the combined portfolio functions! Any help is welcome. Can I simply buy and hold gold 5% in a 20 stock portfolio or 10% in a 10 stock portfolio and will it give the same results as trading gold based on a RW strategy? Thanks.