Maximum amount of leverage

[TobiasAntiGravity]

Dear Mr. Carver

Is it ok to ask what leverage maximum you specify when auto populating trading and position limits? And whether or not you adjust this according to market conditions?

Alternatively - anyone want to take a stab at guesstimating what Mr. Carver's answer would be, based on what you have read / heard.

[dr1ver1]

From memory, in System Trading or Leveraged Trading Rob says he uses an Account Risk Target of 25%.
Leverage will then be based on the Forecast and the Vol of the instrument, which both factor in market conditions.
I'm also using 25% Account Risk Target, with a simpler implementation and 10 instruments and recently total leverage has been between 2.5-3

[TobiasAntiGravity]

Thanks @dr1ver1 for the quick reply!

I see now that my question was very poorly formulated. I was thinking about the parameter passed when autopopulating trading and position limits. You can input maximum leverage that the autopopulate function is allowed to allocate per instrument.

The default input is 1. Which seems too low give the fact that he has a 25% vol target. My understanding is that one would need more than 1 times leverage to obtain that level of vol. for a lot of instruments . (I completely understand that a default value, of this importance would be set very conservatively)

I have a vague recollection of Mr. Carver saying in a podcast that, being good boys we would never use more than 3 - 4 times leverage. Wondering if this is the maximum used by Mr. Carver here,

[robcarver17]

The limit of 1 is per instrument. This applies to position limits and is hence post DO.

There is also a total leverage limit across all instruments by the risk overlay. I use 13 in my production system, but the precise level will be dependent on your mixture of instruments and their vol. This applies to the optimal positions created before DO. So it's possible that DO will produce positions that exceed this.

risk_overlay:
  max_risk_leverage: 13.0