Referring to this:
Maximum Position Size
Sets a limit on the absolute magnitude of any position held by the
algorithm for a given security. This limit can be set in terms of
number of shares, dollar value, or both. A position can grow beyond
this limit because of market movement; the limit is only imposed at
the time the order is placed. The limit can optionally be set for a
given security; if the security is not specified, it applies to all
securities. This must be run in the initialize function.def initialize(context): # Algorithm will raise an exception if we
attempt to hold more than # 30 shares or 2000 dollars worth of
AAPL. set_max_position_size(symbol('AAPL'), max_shares=30,
max_notional=2000.0)
I notice that this must be placed in the initialize function. If so is there anyway to make the max notional a percent of current value?
ie. if my current value is 100 I'd like to set max notional for AAPL to be 10 and F to be 10 etc but after two years when my current value is 200 (nice returns I know :-) ) then it is ok for the max notional to be 20 and 20.
Allowing this to be set outside the initialize function would give all the variations needed (including what I am looking for).
