I have some questions about the strategy analyzer, basket testing function.
I envision using this to analyzer the P&L curve of the system as a whole on a basket of instruments, as well as calculate the position size according to the account size on a day by day basis.
For analyzing the P&L curve of the system on the whole, I assume the Combined Results Instrument created will give me this information.
For the position sizing, I don't believe I can do that with the basic supported methods. Can you tell me how the Combined Results instrument is created?
I suspect the strategy is ran on day 0 for all instruments, then day 1 for all instruments, etc.
Thanks,
Anthony
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