The constraint
MaxTurnover is described on:
https://www.quantopian.com/posts/optimize-api-now-available-in-algorithms
However, I don't see it on:
https://www.quantopian.com/help
Is it supported?
Optimize API MaxTurnover constraint - is it supported?
Hi Grant. We don't have have any immediate plans to remove or deprecate MaxTurnover, but we haven't been focusing on it much because it's not clear whether using a hard constraint (and all Optimize API constraints are hard constraints right now) is actually a reasonable strategy for limiting turnover. In particular, when combined with other constraints, it's pretty easy for MaxTurnover to cause mutually-unsatisfiable sets of portfolio constraints (for example, if you have a tight DollarNeutralconstraint and a MaxTurnover constraint, you can end up infeasible if your portfolio shifts too far away from dollar neutral between orders).
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.