Open position exposure limit for a strategy or group of strategies
Any formula specifying a percentage
In legacy mode this formula is evaluated before new positions are entered each day. In Top-Down Mode MaxExposure is evaluated during the setup selection process. Read "Entry" as "Setup", EntryScore as SetupScore, "position entered" as "setup kept", etc. in all references below when using top-down mode.
The Exposure of a position is 100 times the initial dollar value (cost) of the position divided by the strategy's S.Alloc value at the time of entry.
A position is only entered if its exposure plus the initial exposures of all currently open positions in that strategy would not exceed the value returned by this formula for that day.
If a position can not be entered due to this constraint and the strategy specifies Reduce: True, then the position's Quantity will be reduced to allow the position to be entered at smaller size if possible.
When entries must be skipped because of this constraint, is used to determine which positions are entered and which are skipped.
Entries skipped for this reason display "max exposure" in the Reason column of the Trade List, provided that the KeepTrades setting included Skipped.
If MaxExposure is not specified then there is no limit placed on the percent exposure, though there might still be investment limits if the strategy specifies MaxInvested and/or MaxPositions.
To cap exposure at 100% (e.g. 20 positions at 5% each), use MaxExposure: 100, and so on.
See Also: Backtest Engine Details and Capacity Constraints