@sun-73 Hi,
Respecting this exposure rule is mandatory for Q21 contest and will affect all strategies submitted to Q21. Since there are a lot of strategies already submitted to the contest, and possibly many of them are not compliant with the rule, we cannot say it is mandatory in the way that strategy will be rejected if any weight exceeds limit of 10% of capital in in_sample period, but we will apply the rule on evaluation period (contest/live period).
There are various ways how to manage risk/exposure, we presented a few in the Docs, which could be useful to handle the weights to not exceed the exposure limit, like normalize_by_max_exposure(w) and cut_big_positions(w, 0.1), but you can use any other method for normalization you find appropriate.
After submitting a strategy, weights, even after normalization, could exceed the exposure limit (not intentionally or intentionally), and to ensure that the rule has been followed, cut_big_positions(w, 0.1) function will be applied(during live processing for sure). The function qnt.stats.check_exposure is not included in multipass/singlepass output generation at the moment, but can be used as helper function for checking the output.
If you have any further questions (or suggestions) about this new topic, please feel free to ask.
Best regards,