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Margin And Leverage

QuantBT follows Binance-style futures accounting for notional buying power.

buying_power = current_equity * leverage
initial_margin_required = abs(order_notional) / leverage
maintenance_margin = abs(position_notional) * maintenance_ratio

Important rule:

leverage does not multiply alloc_per_trade.

If the account has initial_capital=10_000 and leverage=10, the initial buying power is about 100_000. A strategy can still choose to allocate 50_000; leverage only controls required margin and rejection/liquidation thresholds.

bt = BacktestEngine(
    Datetime=dt,
    Position=signal,
    Close=close,
    initial_capital=10_000,
    leverage=10,
    alloc_per_trade=50_000,
    hedge_type="signal_notional",
)

Fees And Slippage

Legacy BacktestEngine expects fee as round-trip and halves it internally to one-way. V2 backends expect fee_rate as one-way.

Legacy slippage is a fraction:

slippage=0.0001  # 1 bp

V2 ExecutionConfig.slippage_bps is in basis points:

ExecutionConfig(slippage_bps=1.0)

Liquidation

Intrabar liquidation uses high/low worst-case prices:

  • long positions are checked against Low;
  • short positions are checked against High;
  • if High and Low are not provided, close is used as fallback.

For robust crypto intraday backtests, always pass High and Low.