For when an absolute value calculation of Max is needed. In this case the 'quantity' value could be negative or positive and I want the largest position from both the long (positive quantity) and short (negative quantity) positions.

Django ABSMax Aggregator

from django.db.models import Max, FloatField

class ABSMax(Max):
    """Django annotate/aggregate method for computing the abs max value of
    some expression.
    """
    name = 'ABSMax'
    template = '%(function)s(%(absolute)s(%(expressions)s))'

    def __init__(self, expression, **extra):
        super().__init__(
            expression, absolute='ABS ', output_field=FloatField(), **extra)

    def __repr__(self):
        return "MAX(ABS(%s))".format(
            self.arg_joiner.join(str(arg) for arg in self.source_expressions)
        )


USAGE:

def max_exposure_position(self, portfolio):
        """Return position in portfolio with maximum exposure."""
        return portfolio.positions.annotate(
            max_val=ABSMax(
                ExpressionWrapper(
                    F('quantity') * F('market_price'),
                    output_field=FloatField()
                )
            )
        ).latest('max_val')  # latest will get the biggest value