Max exposure

Sun-73

The JupyterLab run of new strategies for Q23 contest is giving the message below regarding max exposure:

Check max exposure for index stocks (nasdaq100, s&p500)…
ERROR! The max exposure is too high.
Max exposure: [0.10520976 0.10536531 0.1051576 ... 0.09200489 0.09211786 0.09212628] Hard limit: 0.1
Use qnt.output.cut_big_positions() or normalize_by_max_exposure() to fix.

However, the strategy already cuts the abs(weight) if above 0.10.

Besides, module 'qnt.output' has no attribute 'cut_big_positions'.

Thanks!

support

@sun-73 Hi,

sorry for late answer, this has been fixed, please use the latest qnt library version. Thanks, that's correct, there is a typo in check() function, it will be changed in next update - cut_big_positions() is function from qnt.exposure module.

Best regards