How does leverage affect backtesting ?

New comment
 

I thought leverage only affects margin requirement in a forex account but when I launch my backtest, a higher leverage will produce different results. How can I reproduce the leverage that act only on margin requirement like a classic forex trading account?

 

It is because you probably use risk based on %. This % usually is balance or free margin. Leverage effects free margin.

Set the tester to 1:1 leverage or test with fixed lot.

 
Enrique Dangeroux:

It is because you probably use risk based on %. This % usually is balance or free margin. Leverage effects free margin.

Set the tester to 1:1 leverage or test with fixed lot.

Ok I'm starting with 100,000$:

- If I'm setting the leverage to 1:100, I'm getting 8,000$ gross profit

- If I'm setting the leverage to 1:1, I'm getting  330$ gross profit

Lots are not supposed to be modified by leverage they are fixed in my bot. So I don't understand those results

 
Baptiste Arnaud:

Ok I'm starting with 100,000$:

- If I'm setting the leverage to 1:100, I'm getting 8,000$ gross profit

- If I'm setting the leverage to 1:1, I'm getting  330$ gross profit

Lots are not supposed to be modified by leverage they are fixed in my bot. So I don't understand those results

Seems they are not fixed.
 
Baptiste Arnaud:

Ok I'm starting with 100,000$:

- If I'm setting the leverage to 1:100, I'm getting 8,000$ gross profit

- If I'm setting the leverage to 1:1, I'm getting  330$ gross profit

Lots are not supposed to be modified by leverage they are fixed in my bot. So I don't understand those results

Maybe because trades are missed because the balance is not sufficient.

 

Or MAE margin calls. № 5

If you are worried about margin and leverage, you are not controlling your risk. Never risk more than a small percentage of your account, certainly less than 2% per trade, 6% total to the account. Risk depends on your initial stop loss, lot size, and the value of the pair. It does not depend on margin and leverage.
  1. You place the stop where it needs to be — where the reason for the trade is no longer valid. E.g. trading a support bounce the stop goes below the support.
  2. AccountBalance * percent/100 = RISK = OrderLots * (|OrderOpenPrice - OrderStopLoss| * DeltaPerLot + CommissionPerLot) (Note OOP-OSL includes the spread, and DeltaPerLot is usually around $10/pip but it takes account of the exchange rates of the pair vs. your account currency.)
  3. Do NOT use TickValue by itself - DeltaPerLot and verify that MODE_TICKVALUE is returning a value in your deposit currency, as promised by the documentation, or whether it is returning a value in the instrument's base currency.
              MODE_TICKVALUE is not reliable on non-fx instruments with many brokers - MQL4 programming forum 2017.10.10
              Is there an universal solution for Tick value? - Currency Pairs - General - MQL5 programming forum 2018.02.11
              Lot value calculation off by a factor of 100 - MQL5 programming forum 2019.07.19
  4. You must normalize lots properly and check against min and max.
  5. You must also check FreeMargin to avoid stop out

Most pairs are worth about $10 per PIP. A $5 risk with a (very small) 5 PIP SL is $5/$10/5 or 0.1 Lots maximum.

New comment
Reason: