Leverage Issue

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Leverage Issue

david clevenger

posted May 20, 2019

Hi,

I am having a strange issue debugging leverage exceeding 1. I'm not sure why as I my only ordering_percent methods always sum to 1, meaning leverage should be very close to 1.

2 responses

david clevenger

Fixed. A few of the orders were order_target rather than order_target_percent.

Also probably a typo where I think you meant context.tlt = symbol('TLT')

Here you can see the orders happening. Notice cash went quite a ways into margin sometimes.

2011-06-13 06:36 _trac:82 INFO    6      Sold -330/-399 TLT (469) at 96.70  (+59)           -6729  f226  
2011-06-13 06:36 _trac:82 INFO    6      Bot 302 SPY (453) at 127.98                        -6729  12cb

2011-07-13 06:36 _trac:82 INFO    6      Sold -1714/-3473 TLT (4950) at 96.75  (+712)       -170754  2b90  
2011-07-13 06:36 _trac:82 INFO    6      Bot 2537 SPY (-1607) at 132.26  (-82)              -170754  71ed

On line 92 there's a small change you can make to log just beyond a negative cash threshold for less scrolling.

Try placing a breakpoint after that line by clicking a line number and then run it. Takes longer to run. Patience.
Looking around (by typing), that might help figure out what's going on. For example, SPY was short 493 on this date.

> c.portfolio.cash  
    float: -47809.652924  
> context.portfolio.positions[context.spy].amount  
    -493  
> context.portfolio.positions[context.tlt].amount  
    2426  
> c.portfolio.portfolio_value  
    float: 108123.727076  
> get_datetime()  
    Timestamp: 2011-02-23 14:36:00+00:00

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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.