I have a basket of instruments defined, lets say its FGBS, FGBM, FGBL for example. I want to optimize a strategy based on the best overall result when summing the performance of the three instruments. However, it looks like I'm returning the best individual backtests summed together. That is to say, different optimization results are being summed to give the result. Is there a way of specifying that I want to return the ranked optimizations based on the net results of each optimization over the basket as a whole so that there is a global optimization carried out?
Cheers,
darmbk.
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