I'm finding very poor control over leverage when using futures and the optimize API. I'm not seeing these issues with the optimize API when trading equities -- I suspect it's related to the mechanism for rolling futures. The attached backtest is a more-or-less minimal example. At first I assumed it was a slippage issue, but setting
set_slippage(slippage.FixedSlippage(spread=0.00)) does not resolve the issue. Any insights?:
Leverage Issues with Futures and Optimize API
Hi Douglas,
Thanks for pointing this out. There seems to be an issue with SP's volume data around the dates the spikes in leverage appear. The trading volume goes to 0, causing your orders to exit positions to fail and your leverage to go up as you enter new positions. Unfortunately, using FixedSlippage with 0 spread will not fix the issue because the volume needs to be non-zero for the slippage model to fill orders.
We have made a report of the issue and it will be turned over to our data team for review. Sorry for the inconvenience.
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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.