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Category
Strategy Elements
Description
Maximum net long-short dollar investment for a strategy or group of strategies
Input
Any formula specifying a dollar amount
Notes
MaxNetInv is one of the Capacity Constraints formulas used in the setup selection process.
A setup is only selected if its signed position size plus those of other setups selected so far plus current net S.LongInv - S.ShortInv of open positions would not exceed the dollar value expressed as MaxNetInv. (In practice only a long setup could trigger this constraint.)
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 net inv" in the Reason column of the Trade List, provided that the KeepTrades setting included Skipped.
If MaxNetInv is not specified then there is no upper limit placed on net dollar investment level, though there might still be a net upper limit if the strategy specifies MaxNetExp.
Note that opening gaps beyond a specified order price may cause actual net investment to exceed the specified cap in some situations -- think of this constraint as "maximum intended net investment".
See Also: Backtest Engine Details and Capacity Constraints
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