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Category
Strategy Elements
Description
Minimum net long-short dollar investment for a strategy or group of strategies
Input
Any formula specifying a dollar amount
Notes
MinNetInv 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 be less than the dollar value expressed as MinNetInv. (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 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 lower limit placed on net dollar investment level, though there might still be a net lower limit if the strategy specifies MinNetExp.
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 "minimum intended net investment".
See Also: Backtest Engine Details and Capacity Constraints
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