This paper investigates whether a strategy portfolio, combining the TWAP (Time-Weighted Average Price) and VWAP (Volume-Weighted Average Price) strategies, can outperform individual strategies in executing large orders. The theoretical foundation of this approach is based on portfolio theory, which suggests that combining assets may outperform individual assets. Assuming the presence of linear temporary price impact, we establish a discrete-time liquidation strategy framework. Through mathematical derivation, we find that the slippage of the strategy portfolio can be represented as a linear combination of the slippage from individual strategies, along with an additional price impact term which is a quadratic function of weight of VWAP strategy. We use minute-by-minute prices and volumes for CSI 300 Index Future from WIND in three years. We find that strategy portfolio outperforms individual strategies, as evidenced by higher mean slippage, lower slippage variance, or a more diverse risk-return combination. Moreover, the paper highlights the role of price trends in reinforcing the relationship between price fluctuations and volume changes. Our results suggest that this portfolio-based approach offers a practical and effective enhancement to the VWAP strategy, providing market participants with a more flexible and robust trading tool.