@globalarbtrader How do you calculate portfolio turnover? Total number of traded contracts across all instruments/Total Quantity HELD yesterday Across All instruments ?
one instrument: traded contracts / average position (position with forecast of +10) multiple insturments: average or weighted average of turnover per instrument
Why for Strategy 4 in the book,turnover of jumbo portfolio 10 times the median instrument if portfolio turnover is average of turnovers of instruments in the portfolio?
Partly IDM, but I'd have to look into the code more deeply to give you a full answer (in practice it's pretty meaningless to look at portfolio level turnover)
So basically for all the strategies in the book, we run them on an individual instrument, get the turnover and then the portfolio turnover for that particular strategy is just a weighted average of instrument substrategy turnover