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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 T.Fraction for each open position.
S.Exposure, like T.Fraction, is always positive, regardless of side.
To calculate net long-short exposure, use PositionSum(Side * T.Fraction).
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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