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Max Intraday Leverage

A lot of algorithms are using record() to keep track of leverage. The problem is that record() only shows the last value seen per day and drops the rest. Leverage can change in any minute so 389 out of 390 minutes of the trading day are missed. If record() is set to operate on just the first and second minute of the day, the second minute will show up, it works like that.

Why is leverage so important? Because leverage above 1 often means margin, spending beyond the amount in the account. If you start with $100,000 and the code hits a leverage of 1.5 at any time during the run, it typically means you would have had to supply $150,000 to achieve that result by borrowing from the broker, requiring a margin account with fees/interest. (It's a little more involved, that's just the general idea).

A lot can happen intraday (occurring within/throughout a day). To catch leverage jumps (new highs), here is some minimal code for copy/paste. This will read leverage on every minute processed and chart the maximum every day, looks like a stair-step showing when leverage increases happen. Quick and easy.

Edit, from below ...

def initialize(context):

    ...

    context.mxlv = 0  
    for i in range(1, 391):  
        schedule_function(mxlv, date_rules.every_day(), time_rules.market_open(minutes=i))

def mxlv(context, data):  
    if context.account.leverage > context.mxlv:  
        context.mxlv = context.account.leverage  
        record(MxLv = context.mxlv)  

Earlier ...

def handle_data(context, data):  
    if 'mx_lvrg' not in context:             # Max leverage  
        context.mx_lvrg = 0                  # Init this instead in initialize() for better efficiency  
    if context.account.leverage > context.mx_lvrg:  
        context.mx_lvrg = context.account.leverage  
        record(MxLv = context.mx_lvrg)       # Record maximum leverage encountered  
7 responses

Gary,

Thanks for this contribution (and your others)! I have been using the once-a-day leverage number, but I agree that everyone should use max leverage instead. I will start using your code snippet in all my algos.

Tristan

The max per day idea is a good one, thanks.

garyha,

I added this code to the unofficial Quantopian-Community repository on Github. Anyone is welcome to share code on there.

https://github.com/tristanbob/Quantopian-Community/

BTW, I can't find where you posted your PvR function (profit vs risk) function. Can you send a link?

Tristan

Hi Tristan, thanks, I wasn't aware of the repository. I'll make a post for PvR at some point (has intraday max leverage built into it) and in the meantime there's an example in the Source Code tab here. The section that goes with 'def pvr' in initialize() is marked.

Edit: PvR is here now: https://www.quantopian.com/posts/pvr

Gary, you raised an important point and you're right, there isn't an easy way to access intraday leverage. I submitted an internal request for the feature and I think it'll be a good API addition.

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Illustrating that the recording of maximum intraday leverage is useful because of chart smoothing.
Here, the ordinary daily leverage (lv) chart curve winds up smoothed so that the spikes, which reached and caused the stair step MxLv values, appear to be much lower. One can easily be mis-led by merely recording leverage once per day.

Easier maximum leverage code ...

def initialize(context):

    ...

    context.mxlv = 0  
    for i in range(1, 391):  
        schedule_function(mxlv, date_rules.every_day(), time_rules.market_open(minutes=i))

def mxlv(context, data):  
    if context.account.leverage > context.mxlv:  
        context.mxlv = context.account.leverage  
        record(MxLv = context.mxlv)