OptimalF in Z12.fac - independently per component in portfolio?

Posted By: webradio

OptimalF in Z12.fac - independently per component in portfolio? - 08/16/15 21:52

Just double-checking if I understood the manual.

Quote:

In a portfolio system, OptimalF is separately calculated
for any component

It means for me, that even in case there would be no CT, CY, HP algos in Z2, OptimalF values for BB in Z12.fac would be absolutely the same. Correct or not?

Posted By: jcl

Re: OptimalF in Z12.fac - independently per component in portfolio? - 08/17/15 12:57

Yes. Removing an algo means that this algo is not traded anymore. It does not affect the trade volume of other algos.