The most important Key Metric to understand when adjusting multi-strategy portfolios with new strategies based on new research is the risk to worse case drawdown. We want to make sure we do not increase that number - risk to worse case drawdown.
Many new traders have the tendency to start at equity peaks or exit one portfolio on a drawdown and then enter another portfolio at an equity peak, right before it goes through a drawdown.
We show how to quantitatively measure this in the Gap Continuation strategy when adding one simple rule and how it affects the Two System Portfolio NQ.
The second thing to consider is that not every new strategy or even strategies that have better performance will improve your portfolio. Understanding correlation and diversity between strategies is a key consideration.