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Category
Strategy Elements
Description
Minimum net long-short position exposure for a strategy or group of strategies
Input
Any formula specifying a percentage
Notes
MinNetExp 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.LongExp - S.ShortExp of open positions divided by current S.Alloc would not be less than the percentage expressed as MinNetExp. (In practice only a short 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 "min net exp" in the Reason column of the Trade List, provided that the KeepTrades setting included Skipped.
If MinNetExp is not specified then there is no lower limit placed on net percent exposure, though there might still be a net investment lower limit if the strategy specifies MinNetInv.
Note that opening gaps beyond a specified order price may cause actual long exposure to exceed the specified cap in some situations -- think of this constraint as "minimum intended net exposure".
See Also: Backtest Engine Details and Capacity Constraints
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