leverage doesn't affect returns in backtesting

[dongiulio]

I'm a bit confused with the leverage,

I ran my strategy twice, first time setting leverage 400, second time leverage 800, here's how I set the leverage:

cerebro.broker.setcommission(commission=0.0, leverage=400)

then pprinted the bt.analyzers.TradeAnalyzer with:

     print('TradeAnalyzer :')
     stats[0].analyzers.TradeAnalyzer.pprint()

In both cases I get a bunch of stats about my analyzer, but what is strange is that the analysis I get is absolutely the same, numbers are an exact match for both leverages.

Also my broker cash and broker value are the same.

[ab_trader]

If you have same trade stats for both cases, than (as a guess) you didn't increase position size to use that increased leverage.

[backtrader]

@ab_trader said in leverage doesn't affect returns in backtesting:

If you have same trade stats for both cases, than (as a guess) you didn't increase position size to use that increased leverage.

Right.

@dongiulio said in leverage doesn't affect returns in backtesting:

I get is absolutely the same, numbers are an exact match for both leverages

You are confusing leverage with multiplier(which is used for example with Futures).

• leverage gives you more buying potential. But it is a potential and the decision as to how much of that potential to use is yours

• multiplier: affects directly the returns. Unfortunately assets in real-life have a fixed multiplier and you cannot choose it.

[dongiulio]

thanks, now it makes more sense.