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Leverage Issues with Futures and Optimize API

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?:

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 59bc3e91c91efc506c464622
There was a runtime error.
2 responses

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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Thanks a lot, Ernesto! I'll keep an eye out for other anomalies, as I realize the futures API is still pretty new.