cap_exposure: Apply post-weight exposure caps

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Apply post-weight exposure caps

Description

Row-wise caps on a wide weights table (Date + symbols):

1. per-symbol cap (max_per_symbol)

2. optional per-group cap (max_per_group) using group_map

Usage

cap_exposure(
  weights,
  max_per_symbol = NULL,
  group_map = NULL,
  max_per_group = NULL,
  allow_short = FALSE,
  renormalize = c("none", "down", "both"),
  renormalize_down = FALSE,
  renorm = NULL,
  cash_col = NULL,
  caps = NULL
)

cap_exposure(
  weights,
  max_per_symbol = NULL,
  group_map = NULL,
  max_per_group = NULL,
  allow_short = FALSE,
  renormalize = c("none", "down", "both"),
  renormalize_down = FALSE,
  renorm = NULL,
  cash_col = NULL,
  caps = NULL
)

Arguments

weights	data.frame/data.table: columns Date, then symbols.
max_per_symbol	numeric scalar or named vector (absolute cap per symbol).
group_map	optional named character vector or data.frame(symbol,group).
max_per_group	optional numeric scalar (per-group gross cap).
allow_short	logical; if FALSE clamp negatives to 0.
renormalize	character: one of "none", "down", "both". Default "none".
renormalize_down	logical; deprecated alias for down-only (kept for compatibility).
renorm	logical; deprecated alias; if TRUE acts like renormalize="both".
cash_col	optional character; if provided, set to 1 - sum(pmax(w,0)).
caps	optional list; alternative to split args (see details above).

Details

Negatives are clamped to 0 unless allow_short = TRUE.

Renormalization options:

• renormalize = "none": leave gross (sum of positive weights) as is.

• renormalize = "down": if gross > 1, scale down so gross == 1.

• renormalize = "both": if 0 < gross != 1, scale so gross == 1.

The argument renorm (logical) is a deprecated alias; TRUE behaves like renormalize = "both".

The caps list form is supported:

max_per_symbol

Maximum absolute weight per symbol (0-1).

max_per_group

Maximum gross weight per group (0-1).

group_map

Named character vector mapping symbol -> group.

Value

data.table of capped (and optionally renormalized) weights.

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.