Category
Daily Test Statistics
Description
Net fraction of allocation held overnight in open positions by this strategy on this test date
Notes
S.Exposure is calculated as the sum of (side * T.Fraction) for each open position.
If a strategy is longonly, the exposure is always positive.
If a strategy is shortonly, the exposure is always negative.
If a strategy trades both sides, the exposure reflects the long/short balance (will be near zero if both sides are fully invested).
