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S.Exposure

 

 

 

 

Category

Daily Test Statistics

Description

Total fraction of allocation held overnight in open positions by this strategy on this test date

Notes

S.Exposure is calculated as the sum of FillFraction for each position held overnight each day.

S.Exposure, like FillFraction, is always positive, regardless of side.

To calculate net long-short exposure while a test is running, use PositionSum(Side * FillFraction).

When referenced from entry-related formulas in a strategy that enters positions at the open or at the close, S.Exposure will have been reduced by any exits that occurred at that same time.

Use Combined or Extern to obtain this value for all strategies or for a specific other strategy or StatsGroup.

 

 

 

 

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