... and where do you put those assets that you don't want Z12 to trade?
Exclude = "..." in Z.ini seem to work at least when back testing. But in the documentation it says that's only for z3 and z7...?
Documentation says (emphasis added):
Exclude Assets: [...] For excluding a certain component from trading in Z1, Z2, or Z12, edit the Z12.fac factors file (DataZ12.fac) and place minus signs '-' in front of its OptimalF factors.
