One of These Things (Is Not Like the Others). Or is it? Pooling rule p&l estimates across instruments.

This is the eighth post in a series I'm writing on portfolio optimisation. I haven't done one of these for a few posts, so here is the story so far: In the first post I showed that if you are optimising across forecasts from different trading rules and instruments, then you should first fit within; and then across, instruments. As I do anyway. In my second post I ran some experiments with…