Ensemble Backtests: Combining Weak Strategies into Strong Portfolios

Category: Strategy Backtesting & Evaluation • Article #10 • Reading time: 5 minutes

Overview

Individual strategies are weak (Sharpe 0.6). Combined ensemble (voting): 5 weak strategies vote on allocations. Ensemble Sharpe 1.0 (68% correlation, voting works). Ensemble backtesting reveals diversification across strategies.