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S.Exposure

 

 

 

Category

Daily Test Statistics

Description

Net dollars held overnight in open positions by this strategy on this stat date

Notes

S.Exposure is calculated as the sum of (side * shares * entry price) for each open position.

If a strategy is long-only, the exposure is always positive.

If a strategy is short-only, the exposure is always negative.

If a strategy trades both sides, the exposure reflects the long/short balance (will be zero if both sides are fully invested).

The default "Exposure" daily stats graph is calculated as S.Exposure / S.Alloc and displayed as a percentage.

 

 

 

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