Portfolio Studio
Info
Portfolio Studio is in Early Access. The full feature set — all four construction modes, institutional allocation engines, N-of-M rotation, and the Adjust overlay — is live now for Early Access users.
Portfolio Studio lets you build multi-strategy portfolios from your validated strategies. You choose how to construct each portfolio: manually from scratch, with guided automation, through a full optimization engine, or by running head-to-head recipe trials. Every portfolio earns a portfolio-level Casey Strategy Index (CSI) score so you can compare constructions on the same scale as individual strategies.
Construction Modes
Portfolio Studio offers four modes. Each serves a different goal — pick the one that fits what you're trying to answer.
Manual
Full control over every allocation decision. You select each strategy, set its weight directly, and choose an allocation engine to compute contract counts. Use Manual when you have a specific thesis about how strategies should be combined and want to implement it exactly.
Quick Build
A guided workflow that assembles a portfolio bundle in seconds — no cloud compute required. Quick Build applies a structured set of allocation and diversification rules to your selected strategies and delivers a ready-to-analyze portfolio immediately. Use Quick Build when you want a sensible, well-constructed starting point without running a full optimization.
Composition
The full engine. Composition generates a candidate pool from your strategy library, applies walk-forward validation to filter for edge quality, then runs allocation optimization to find the best-performing combination. Use Composition when you want the rigorous path: systematic candidate generation, statistical validation, and optimized allocation all in one pipeline.
Bake-Off
Run two to five portfolio recipes head-to-head on identical historical data, then save the winner. Each recipe specifies a different construction approach — different strategy sets, allocation engines, or parameters. Bake-Off runs them all under identical conditions so the comparison is fair. Use Bake-Off when you have competing portfolio hypotheses and want data to decide between them.
Allocation Engines
All four modes share the same set of allocation engines. Each engine computes a different distribution of capital across your selected strategies:
| Engine | What it does |
|---|---|
| Equal Capital | Allocates the same dollar amount to each strategy |
| Equal Risk | Sizes each strategy so its risk contribution is equal |
| Kelly | Sizes positions based on each strategy's historical edge and variance |
| Risk Budgeting | Distributes a total risk budget across strategies according to specified risk targets |
| Hierarchical Risk Parity (HRP) | Uses a tree-based clustering method to balance risk across correlated strategy groups |
| Maximum Diversification | Maximizes the ratio of weighted average volatility to portfolio volatility |
| CVaR-Aware | Constrains allocation to limit tail-risk exposure at a chosen confidence level |
| Inverse Volatility | Allocates capital inversely proportional to each strategy's historical volatility |
| Equal Weight | Assigns identical percentage weights to all strategies |
Info
No formulas or internal parameters are shown here by design — the engines are proprietary implementations. The descriptions above explain what each engine optimizes for, which is all you need to choose the right one.
N-of-M Rotation
Instead of trading all strategies at once, N-of-M rotation keeps a bench of M validated strategies and actively trades only the top N, re-ranked on a schedule.
Key configuration options:
- N and M — How many strategies to hold (N) out of how many are eligible (M)
- Rebalancing cadence — How often the ranking is recalculated and the active set updated
- Qualification rules — Minimum score thresholds or other criteria a strategy must meet to remain eligible
- Minimum hold period — How long a strategy must stay in the active set before it can be rotated out
- Churn limits — Caps on how many strategies can be swapped in a single rebalance cycle
Named Presets
Portfolio Studio ships with five named rotation presets covering common cadence and scoring combinations. The default preset is AlgoChef Standard, which uses the CSI-tier and Health Score ranking at a quarterly cadence — the configuration that performed best across AlgoChef's internal rotation fitness analysis.
Tip
Named presets are starting points. You can adjust N, M, cadence, and qualification rules independently after selecting a preset.
Adjust Overlay
The Adjust overlay lets you change contract counts on any saved portfolio and immediately recompute the equity curve and metrics — without rebuilding the portfolio from scratch. Use Adjust when you want to explore how scaling positions up or down affects historical performance and risk metrics.
Portfolio-Level Scoring
Every portfolio — regardless of construction mode — gets a full performance report including a portfolio-level Casey Strategy Index (CSI) score. This score is calculated the same way as individual strategy scores, so you can compare a portfolio directly to the strategies inside it and to other portfolios.
The correlation heatmap shows pairwise strategy correlations so you can see where diversification benefit is coming from and where concentration risk is hiding.
What's Next After Building a Portfolio?
Once you have a portfolio:
- Strategy Analyzer — Validate the individual strategies that make up your portfolio before including them
- Health Monitor — Track whether strategies in your portfolio are degrading over time
- Monte Carlo Simulation — Stress-test individual strategies before they enter any portfolio
Tip
Ready to see this in action? Start your free trial — no credit card required.