Suppose I have 5 uncorrelated systems that I feel confident to trade (entirely mechanical). I know for each system its historical (backtest) performance, which is robust and acceptable for all five, even though differences exist. However, I also know that future performance will likely be different from past performance as a result of randomness. Modern Portfolio Theory says I should trade all systems at once, like a portfolio, and allocate my equity over the systems according to some weighting scheme. This can decrease risk substantially. Now suppose I can't trade all systems at once (e.g. because of a lack of capital or technical infrastructure). It seems the optimal approach is now to "sequentially" trade the five systems. I.e. if I can trade only one system at a time, I should throw a dice each month and randomly pick a system for that month, instead of trading the single system that performed best in the backtest for the entire year. Does this reasoning make sense?