Is it possible to to have variable leverage in a portfolio or simulation. Intent is to vary the leverage based on custom formulas that look at a variety of market factors (e.g. recent volatility, cross-sectional correlation).
Not directly.
One workaround is to define the maximum leverage at portfolio level, maximum leverage at the position level, and then have the number of positions depend on a formula.
Hi David,
Any chance you could create a public “dummy” demo?
I am not sure I understand what you mean and the associated limitations…
Many thanks in advance,
Jerome