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MaxSameCat

 

 

 

 

Category

Strategy Elements

Description

Limits the number of same-category positions that can be open simultaneously in a strategy or group of strategies

Input

Any formula specifying a count

Notes

In legacy mode this formula is evaluated before new positions are entered each day. In Top-Down Mode MaxSameCat 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.


When present, this formula is evaluated before new positions are entered each day.

If MaxSameCat is not specified then there is no limit placed on the number of positions that can be entered in the same category.

When entries have to be skipped because of this category count cap, EntryScore is used to determine which positions are entered and which are skipped. Entries skipped for this reason display "max same cat" in the Reason column of the Trade List if Skipped was included in the KeepTrades setting when the test was run.

See the Category strategy element for details on how this works.

See Also: Backtest Engine Details and Capacity Constraints

 

 

 

 

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