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My understanding is that portfolio testing is a big deal because it
allows you to make sure your strategy is robust across a range of
instruments (markets).
If my understanding is correct then what is it technically?
Is it just a matter of applying the same strategy to price quotes for
the given instruments while keeping a single P&L for the whole set?
It must be something bigger than that since some products do not
implement it and others charge an arm and a leg for it.
Thanks, Joel
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