If I backtest the strategy, will the results like returns, sharpe, drawdown etc., be calculated based on ES's contract value (because it is the primary)?
Is it possible to write a strategy that has a notional amount, say $1 mn, in addition to saying 1 contract of ES, 3 contracts of ZB etc., so that when statistics like drawdown, returns, etc. are calculated and shown in the backtest, they reflect the notional amount, instead of the contract value of say ES or ZB?
More specifically, is it possible to write a strategy for a "portfolio" where the rules for different markets (ES, ZB, CL, GC, etc.) are different?
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