MINPOSITIONS

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Keyword Description

Used in MVO, this is a user assignable variable that tells the optimizer the minimum number of positions to hold.

Class

Directive

Where Legal

Resources

Entry Logic

Exit Logic

Initial Size

Resize

(Pre-Category)

Resize

(Category-Level)

 

 

 

 

 

l

Syntax

MINPOSITIONS

 

Example

Sample code

MINPOSITIONS = 5 'ignore better Sharpe ratios derived from holding fewer than this number of positions

 

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Tells the optimizer to use the optimum UTILITY value derived from holding no fewer than this number of positions.  Suppose that the optimizer was able to find a combination of securities and weights that exhibited a superior Sharpe ratio but that portfolio held only 3 positions.  That 3 item portfolio would be ignored in favor of the 5 item portfolio exhibiting the best Sharpe ratio.

See also:

UTILITY, Markowitz style portfolio optimization

..\Sample Rules\Position Sizing Rules\ReAllocate.siz