I have a model that shorts an ETF using an MOO order, and buys is back at close using and MOC order.

It returns about 45% over the life of the test, when leverage is set to 1. When I change the following two lines of code from a 1 to 2, to represent an increase to 2x leverage, the total return is 61.25%. I am confused on what is causing a leveraged overall winning strategy to return less than double the unleveraged version. I feel I may be missing something. The trade sizes seem to double as I change from 1x to 2x so yea. anything helps!

These two lines are the ONLY ones I edit between the backtests. I simply toggle replace the 2 with a 1 and vice versa.

self.UniverseSettings.Leverage = 2

self.SetHoldings(tradeBar.Symbol, -2)