Hi Guys
I want to know is there any solution to simulate leverage in backtest?
As I know there is context.account.leverage but it is a getter and changing it doesn’t has any effect on context.account.total_positions_value.
And also for live trading, there is any setting in Quantopian side for leverage or as FAQ claimed it is related only to IB?
If you order beyond 100% of your account balance (example - order_target_percent(security, 2.0) ) your algorithm will automatically borrow money and this will be reflected as a negative cash balance.
What is not simulated (AFAIK) is the interest payment you will owe IB against that. You would have to code that yourself as a regular draw against your cash account using the latest IB margin rates.
context.account.leverage is used to track your portfolio's leverage. It gets updated as your portfolio changes value and trades occur. Matt correctly suggested that you have to control the cash management. I'd suggest to use the family of order_target() functions to order your securities because they're robust and will automatically seek to maintain the target position. The documentation for the functions is available here: https://www.quantopian.com/help#api-order-methods
The one rough edge with these functions is they don't consider the status of open orders. So I generally exit out of the handle_data() call if my algorithm has open orders. Something like:
def handle_data(context, data):
if get_open_orders:
return
# your code logic here In live trading, the algorithm will pull in data from your IB account. The context.account.leverage variable will read the leverage stated in your brokerage account.
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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.