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S.Exposure

 

 

 

 

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 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 near zero if both sides are fully invested).

 

 

 

 

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