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Category
Strategy Elements
Description
Dollar investment limit for a strategy or group of strategies
Input
Any formula specifying a dollar amount
Notes
MaxInvested 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 selected so far plus current S.Invested of open positions would not exceed the dollar value expressed as MaxInvested.
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 invested" in the Reason column of the Trade List, provided that the KeepTrades setting included Skipped.
If MaxInvested is not specified then there is no limit placed on total dollar investment level, though there might still be investment limits if the strategy specifies MaxExposure and/or MaxPositions.
To cap investment at the strategy's current allocation use MaxInvested: S.Alloc, or more simply MaxExposure: 100.
Note that opening gaps beyond a specified order price may cause actual investment to exceed the specified cap in some situations -- think of this constraint as "maximum intended investment".
See Also: Backtest Engine Details and Capacity Constraints
When using Legacy Mode:
•MaxInvested is checked at position entry time rather than setup selection time
•EntryScore is used to determine which entries got priority
•MaxInvested cannot be used in Combined or StatsGroup
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