Is it possible to add leverage for back testing?

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Is it possible to add leverage for back testing?

Volodymyr Vovchak

posted May 12, 2015

I would like to test performance of the strategy if leverage is allowed. Is it possible to do that?

Also it would be nice to have possibility to see performance of the strategy if short-selling is allowed. The same question: is it possible?

5 responses

Yes both of these are possible, there are no inherent limits on leverage in the code. You will have to track your own leverage but could make it 1000x leveraged if you so desired.

Its not that hard to do yourself. The harder part is just coming up with a margin rate that is realistic. That data is hard to come by IMHO.

Volodymyr Vovchak

Do I need to change context.account.leverage in the initialize part? Or how it should be done?

you can use a number greater than 1 in your order_target_percent
ie 1.3 to use 30% lev.

I have related question, in my algo I always have in my order_target_percent 1 or less but still the context.account.leverage shows leverage between 1 and 4 depened on the trading days, how can it be ?
1. how can I detect where is the issue ?
2. How can I tell quantopain to disallow any kind of leverage

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.