Hi all, Let's say you have 3 trading strategies, and you form a basket. The model gives you the "ideal" number of contracts at any given date. For example, say today, the model gives the following three real numbers for our positions on the 3 strategies: 1.3 0.49 2.8 Do you round each one and then add up or you round the net? There are two alternatives: ---------------------------------- (1): Let's say I choose to round the net, and get round(1.3+0.49+2.8)=5. Maybe I should put this "round(net)" scheme into my backtest model so then my backtest Sharpe is based on this realistically tradable model. But then I will lose precise track of each individual strategy. ----------------------------------- (2): Let's say I choose to round each one first, and then sum them up, and get round(1.3)+round(0.49)+round(2.8)=1+0+3=4. If I put this "round(s1)+round(s2)+round(s3)" scheme into my backtest model so then my backtest Sharpe is based on this realistically tradable model. Then I will have precise track of each individual strategy. ---------------------------------- Which one is better? Thank you!