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Hi, I've just started using the QuantConnect platform and am impressed with the functionality. I am having some difficulty allowing leverage in my backtests, basically I am trying to increase day trading buying power by 4x the amount of cash, as most brokers allow. From the docs and this post:
https://www.quantconnect.com/forum/discussion/500/update-margin-calls-and-portfolio-modelingthe typical way to do this is something like:
self.Securities["AAPL"].MarginModel = PatternDayTradingMarginModel()
within the Initialize() function. However, I am using a CoarseSelectionFunction to get a new list of stocks every day, and as far as I can tell self.Securities is not populated in Initialize() or onData(). I'm wondering if I am still able increase leverage/buying power while still using CoarseSelectionFunction? I also tried setting:
self.UniverseSettings.Leverage = 4
within Initialize(), but it did not seem to do anything when looking at the difference between self.Portfolio.MarginRemaining and the cost of of a new position within onData(). Thanks.
Shile Wen
Hi Dahui,
I suggest using a custom Security Initializer and have the function set the leverage of the security to 4.Furthermore, I STRONGLY suggest that you do not call AddEquity insides the Coarse filter, and also use the dict[Symbol, SymbolData/SelectionData] pattern to store the indicator information, which can be seen in this BootCamp.I've shown this change in the attached backtest.
Best,
Shile Wen
Dahui
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