Keyword Description
Used only when applying MVO to sizing individual futures positions, this lets Mechanica internally calculate size like this: totalrisktarget in dollars X optimum weight for this position / NEWRISK
Class
Expression
Where Legal
Resources |
Entry Logic |
Exit Logic |
Initial Size |
Resize (Pre-Category) |
Resize (Category-Level) |
|
|
|
|
|
l |
Syntax
TOTALRISKTARGET
Example
Sample code
TOTALRISKTARGET = TOTALEQUITY * .1
|
This keyword is supplied more for completeness than for any belief in the usefulness of applying MVO to individual futures contracts. |
See also:
.\Sample Rules\Position Sizing Rules\ReAllocate_Futures_#8913.siz