I'll take a look at adding another strategy. By selling vol, I'm guessing you mean options (implied vol vs historical vol?)? (Sorry if that's a dumb question, no actual experience in this space, this is sort of a pathological hobby gone wild). After adding 45 futures, it doesn't look like I can diversify much more. I'm trading the majority of liquid contracts- there seem to be hundreds more, but either for similar things (London Sugar, American Sugar), or completely illiquid (e.g. Uranium). I'm going to add the cryptocurrency futures now as it's the only extra source of diversification I can find, and they offer bonkers leverage, so no counter-party risk. I've been experimenting with PyMC/Bambi (a Bayesian network framework for python); I'm going to try and use it to model my trading costs/slippage first. It seems like it could be a very useful tool both for that and for trading models too.