The "correct" way to simulate high leverage

Hi QC community,

I have been playing around with a model and would like to put some extra leverage onto my algorithm (basically allow for higher margin than 2x/3x on equities). I am aware of Reg T and how IB accounts for margin. This is just to play around with.

If relevant, I am currently entering positions using: 

SetHoldings("XXX", 2.0)

Could you please point me in the right direction? I have searched on the forum and have yet to find a conclusive answer.


Update Backtest

I believe it is 

Securities[Symbol].SetLeverage(X); in initialize. X being whatever you want max lev to be


I've attached a backtest with some results. The leverage doesn't really make sense to me. 

I had to set both:



SetHoldings(_spy, 2.0M);

I've attached a leverage chart also. Am I missing something? The leverage chart seems wrong to me...


Update Backtest


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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


This discussion is closed