Why number financial instruments is different from my expectation ?
I have a question about the statics of strategy in contest.
My strategy invests 10 instruments ranked by the mean Sharpe Ratio, top5 long and down5 short. However, the statics says that number financial instrument is 87.
What is the cause of the result ?
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Hi, sorry for late answer. This number shows the total number of instruments that weights have been allocated to, at any point of entire time period. In your case, it means that 87 different instruments have been ranked in top5 or bottom5 by Sharpe Ratio.