I created a Long Strategy with about 35% annualized gain for the last 20 years. And a Short Strategy with about 19% annualized gain for the same period.

I thought if I combine these two with a "Combined Strategy" the return should go higher than 35%.

But to my surprise it could not surpass the 35%. In my case it seems to make no difference if I use only a long strategy or an additional short strategy. Even that I tried very many combinations regarding priority and capital allocation.

So my question: Is this a common problem and how to avoid that (i.e. how to create a short strategy which enhances the return you get from your long strategy)? On what do you have to focus while creating a short strategy to avoid this problem?

Thanks for every answer!

Please keep in mind a peculiarity of Combination Strategies: a child strategy's equity is not being readjusted bar by bar with regard to its % of starting equity allocation. That's how it works. This may explain the % return lower than you expect.

Each strategy is assigned its allocation at the beginning of the simulation and the individual equity curves are combined for the result. For more info: User Guide > Strategy Window > Combination Strategy

To combine strategies that draw from the same source of funds and therefore affect the same equity curve, all the rules have to be in one strategy.

QUOTE:
To combine strategies that draw from the same source of funds and therefore affect the same equity curve, all the rules have to be in one strategy.

Good point Robert. We have a KB article to illustrate the idea:

WealthScript Techniques | MultiSystem, or Calling a Strategy From Another

OK, thank you for your answers. I might work on the short strategy from now on always next to the long strategy. So that I see right from the beginning which short strategies adds overall profit and which do not. I think developing a stand-alone short strategy was my mistake.