I have spent a lot of time finding some trading alphas. Now, I have about 10 alphas to trade Future, I also optimized the portfolio by using Markowitz's Modern Portfolio Theory (MPT) to get weights. However, I think I can optimize more than by auto-change weights with the different patterns of the market. I have searched the papers about this problem. But I can't find using paper. Can you help me, please! Thank you so much.