Diversification

The portfolio's max drawdown dropped by 69% by combining uncorrelated algorithms across pairs. Each step reduced risk without requiring a better signal.

Drawdown Reduction

Pre-cost, full-sample figures. See Costs for post-cost breakdown.

Component Equity Curves

Each component earns independently. Their daily returns are essentially uncorrelated (r = -0.008).

Cross-Strategy Correlation

When two strategies are uncorrelated, combining them reduces drawdown without reducing expected return. This is how the portfolio's max drawdown actually decreased while adding return from the third pair.