The theory of statistics holds that doubling the number of independent members of an ensemble reduces the standard deviation by the square root of two. By doubling again, the standard deviation is thus halved. Therefore, trading four strategies in a portfolio will theoretically cut the deviation in half.
A great addition (in my opinion) would be to select a number of strategies to display a matrix of their correlation with each other as well as a benchmark such as the S&P 500. This has the potential to offer much more stable returns for the investor over time and dampen otherwise white-knuckle drawdowns with an aggressive strategy in the mix. Can this be put into development?
Together with the correlation, it would be really helpful to show what a strategy’s typical margin to equity ratio is to calculate a rate of return adjusted for margin efficiency and to compare trading system performance more accurately. Can this also be put into development for use in the Grid?