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Joel Reymont wrote:
> 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 could be that. Or it could be applying a 'portfolio' of different
strategies to the same instrument. Or any combination of the two.
Basically, it's being able to model how one might manage his whole
portfolio in the real world and it's not that easy. A simple example
might be daytrading stocks long and short, trading intermediate term
swings in bonds long and short, holding differing amounts of t-bills
long only and holding real estate long only.
--
Dennis
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