Steps
- Open the strategy's Allocation card and choose MPT (Markowitz) — or Black-Litterman, which shares every MPT setting.
- At the strategy level, set Position direction: Long-only keeps every weight at 0 or more; Long/short, where it starts, allows negative weights. A Combined has no direction control.
- Turn on Weight limits. Which plan includes them is on MPT (Markowitz).
- Set Min weight (starts at 0) and Max weight (starts at 0.5, that is 50%) so that the number of instruments times Max weight reaches 100% and times Min weight does not pass it.
- Turn on Force diversification, off by default, if you want the weights spread more evenly.
- Read the strategy alerts to review on the Allocation card: they say when your limits leave capital in cash or invest nothing.
Done. At every rebalance the optimisation picks only weights inside the limits you set.
What do the MPT constraint toggles do?
Three controls narrow which portfolios the optimisation is allowed to pick from. They change the answer by changing the admissible set — a tighter constraint can only move the result away from the unconstrained frontier point, or make the problem impossible to satisfy at all.
| Control | Effect |
|---|---|
| Position direction (strategy level only) | "Long-only requires every weight ≥ 0. Long/short allows negative weights (short positions)." At the Combined level MPT is positive-only by construction, so this control does not appear there. |
| Weight limits | "Constrain each instrument's weight to a range" — turning it on reveals Min weight and Max weight, which every instrument's weight must then respect. |
| Diversification | "Force diversification" spreads weights more evenly across instruments instead of letting the optimisation concentrate them in a few. On a small set of instruments it can leave nothing that satisfies every constraint at once. |
The weight-limit bounds themselves depend on the level and the direction: inside a Combined the weights run from 0 to 1; inside a single strategy set to Long-only they also run from 0 to 1, and set to Long/short they run from −1 to 1.
What happens when the weight limits do not add up to 100%?
With Weight limits on, has to reach 100% and must not pass it, being the number of instruments the strategy holds. On a Long-only strategy — or a Long/short one whose Min weight is 0% or more, which the engine then solves as long-only — without Force diversification, a strategy alert to review on the Allocation card says when either fails:
- Maximum too low — part of the capital stays in cash. 5 instruments at a Max weight of 10% invest at most 50%: "With 5 instruments and a maximum weight of 10%, the engine invests at most 50% and the rest stays in cash: raise the maximum weight or add instruments."
- Minimum too high — nothing is invested. 5 minimums of 25% ask for 125%, which no weights satisfy, so everything stays in cash: "With 5 instruments a minimum weight of 25% asks for more than 100%: the engine finds no valid weights and stays in cash. Bring the minimum below 20%."
is the number of instruments you picked, capped by Max positions. With an entry screener the number is only known at each rebalance, so Max positions — the most the strategy can hold — stands in for it: the maximum-weight alert still speaks, because fewer instruments would leave even more in cash, while the minimum-weight one stays silent. Both alerts can be left as is when the setup is deliberate.