Optimal portfolio selection strategy?
Playing for the long-term, seems like it is very difficult to shape an Optimal portfolio selection strategy that includes Forex and Futures excluding the use of Options on Forex and Futures (which are not yet available at C2) at the same time pursue an objective of maximizing Return which may not be the correct objective. So until the time options are made available, the alternative is to reduce position size which reduces Return but reduces max DrawDown as well which essentially shifts the objective from maximizing Return to maximizing the Expectancy Score. Profit Factor and Expectancy are the keys to judging a system. Whether they can be the ones which one should strive for to maximize as objectives is a moot point. A buy-and-hold portfolio (without hedging with options) with the objective of maximizing return is synonymous with crash-and-burn unless the Position Size is reduced (enabling sufficient diversification) and the objective changed to maximizing the Expectancy Score which i
