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Category
Strategy Elements
Description
Percent exposure limit for positions in the same category for a strategy or group of strategies
Input
Any formula specifying a percentage
Notes
MaxCatExp is one of the Capacity Constraints formulas used in the setup selection process.
A setup is only selected if its position size plus those of other setups and open positions in that category would not exceed the percent of S.Alloc expressed as MaxCatExp.
Use the Category formula to define the category of any security.
If a setup cannot be selected due to this constraint and the strategy specifies Reduce: True, then the position's Quantity will be reduced to allow the position to be ordered for entry at smaller size if possible.
Setups skipped for this reason display "max cat exp" in the Reason column of the Trade List, provided that the KeepTrades setting included Skipped.
If MaxCatExp is not specified then there is no limit placed on same-category exposure level, though there might still be same-category constraints if the strategy specifies MaxCatInv or MaxSameCat.
Note that opening gaps beyond a specified order price may cause actual same-category exposure to exceed the specified cap in some situations -- think of this constraint as "maximum intended exposure to the same category".
See Also: Backtest Engine Details and Capacity Constraints
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