Slippage won’t do the trick for borrow cost or at least you have to be careful with it, especially in high turnover strategies. Slippage is a cost at trade, independent of holding duration. Borrow cost is a negative carry as function of holding period.
If you have relatively stable turnover, you can adjust slippage carefully to
S = trading cost + 0.5* expected avg. borrow rate / Turnover
Powerful feature, really enjoy the availability.
Great work, will provide feedback once I have a chance to try it out!
It would be hepful to know how to setup the short simulation for usage in the book sim. Is the book sim expecting a long portfolio that it then shorts? Or should you provide it a short simulation with positive weights?
This is what I do. Create a normal short simulation. See image below for parameters.
So if I have $1mm long and I also want to short $1mm on leverage for market neutral with gross exposure of 2, this is how I do the book.
how would someone convert a sim book to a live book? it doesn’t seem to allow shorts or leverage
See @marco first post. Looking forward to the Live Books update.
The leverage and shorting features are gone for Live Books. @marco, can you please add them back urgently?
These features have never existed for Live Books.
Hi Marco
Can you please elaborate? I think they existed for a while (at least when I launched my live book), but then disappeared just before Nov 17 (see screenshot, before I ran 2x leverage on the book). Do you have an ETA when the leverage feature will be back/available?
I can confirm that Live book leverage is currently unsupported and won't be implemented in the near future.
The Live Book leverage was an unintended artifact of saving a leveraged Simulated Book. But as you noticed, it reverts to unlevered after the next rebalance.
