Keyword Description
Used in MVO, this is a user assignable variable that provides a minimum threshold below which a weight of zero is forced on a position.
Class
Directive
Where Legal
Resources |
Entry Logic |
Exit Logic |
Initial Size |
Resize (Pre-Category) |
Resize (Category-Level) |
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l |
Syntax
NOWEIGHT
Example
Sample code
NOWEIGHT = .01 'ignore any weights the optimizer assigns that are less than 1%
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Use this to prevent extremely small calculated position weights from being recognized. For instance suppose the optimizer selects a number of tiny position weights that would yield position sizes unlikely to even recover execution costs such as commission during the holding period. NOWEIGHT = .05 would guarantee that the smallest item in the portfolio was weighted no smaller than 5% of the total. |
See also:
UTILITY, EXPECTEDRETURN, TOTALRISKTARGET, MINPOSITIONS, Markowitz style portfolio optimization
..\Sample Rules\Position Sizing Rules\ReAllocate.siz