Leverage and margin

[Kayne88]

Hello

I am working with the from_order_func and was wondering what would be the most convenient approach to include trading with leverage or equivalently reduce the margin required to hold a certain position?

i.e I buy an asset amounting to 1000 usd, then with leverage 10, I need to roughly bring up a margin of 100 usd.

Cheers

[polakowo]

@Kayne88 vectorbt doesn't implement margin trading, but you can try implementing it using from_order_func (I have never tried it out though). You need first to track the current position for liquidation scenario, which can be done using a pre or post-segment function. Then you need to somehow account for the leverage when closing the position, which means adding either more cash when in profit or less when in loss. Since we cannot change the cash by hand, you need to calculate the effective P&L and use it as either positive or negative fixed_fees when issuing an order to close the position (negative fees will be added to the balance). That's just an idea, you have to experiment.

[Kayne88]

Thats indeed an idea to work with the fees, in that way I would assume that the stats() from the portfolio reflect the stats As if traded with leverage.

I was also thinking about a naive approach: Lets say my cash is 10k usd and leverage 10. Then I just assume I am trading with 100k usd cash and scale my trading volumes by 10. With this approach I would most certainly arrive at the same absolute PnL and return curve, however important metrics as sharpe, maxdd etc will be wrong.

Could enable margin trading be a feature for the backlog? @polakowo