I strongly believe that the portfolio composition (i.e. number of assets and their individual risk profiles) and the leverage are intertwined.

You express confidence in your system (which is good!) by suggesting a reinvestment rate of 75%, but I believe this arbitrary number is probably way too high for a crypto currency (no need to explain their extreme volatilities *wink) in a single asset portfolio.
With your profile (and yes, I've read your 3 pointers as well) I would suggest a conservative approach like the optimalF, or in case you want to go YOLO, the Kelly criterion. There's an excellent paper (page 21) (I love my bookmarks) about the differences between these two.

As for 'universal systems'. In case you mean the exact same set of rules applied to multiple assets, I don't believe in that either. Just like you, I believe in simplicity, but with small variations for each asset.
I see two main advantages in a multi asset portfolio, a more smooth equity curve (and better night sleeps, LOL) and the ability to go a little more aggressive with leverage.

As for pairs trading, I recently saw this interesting keynote on pairs trading, using a Kalman filter as a spread basis. My current project takes too much time, but it was an insightful one.

Last edited by Grant; 12/28/21 13:24.