Step 08: Leverage Suitability

This diagnostic step assesses leverage suitability for each shortlisted candidate. The primary view is a leverage grid; an optional reference leverage gives a fixed-point check. It does not change the Strategy Composite Score.

InputShortlisted candidates, full-period trades, per-trade MAE/MFE, leverage-grid assumptions, liquidation assumptions, and hard risk guardrails.

OutputMaximum safe leverage, first unsafe leverage, leverage-grid score, optional reference-leverage status, and leverage risk diagnostics.

Used laterUsed for risk interpretation in Summary. It is not used to rerank candidates unless a human reviewer chooses to apply leverage constraints manually.

Configuration (risk assumptions)

Enabled	True
Minimum trades	20 (4h)
Maintenance margin	0.005
MAE quantile	0.95
Tail quantile	0.99
Max allowed leveraged DD	0.5
Max allowed leveraged trade loss	0.5

Leverage Grid Summary

This grid is a risk tolerance map, not an optimization recommendation. It estimates how far each candidate can be stressed before any hard leverage guardrail fails.

Hard guardrails:

Minimum trades: 20 on 4h
MAE P99 below liquidation distance (maintenance margin: 0.005)
Leveraged drawdown ≤ 0.5
Worst leveraged trade loss ≤ 0.5

Grid enabled	True
Grid start	1
Grid stop	50
Grid step	1

Candidate Id	Max Safe Leveragei	Max Non Liquidation Leveragei	First Unsafe Leveragei	Best Grid Leverage Scorei	Leverage At Best Grid Scorei	Score At Configured Leveragei	Grid Levels Testedi	Buy Ema Short	Buy Ema Long	Status At Configured Leveragei	Strategy Composite Scorei	Robustness Scorei

Reference Leverage Details

Show reference leverage details

Reference Leverage Configuration

Reference leverage	3
Purpose	Optional fixed-leverage diagnostic point

Candidate Id	Leverage Scorei	Tested Leveragei	Liq-Safe Max Leveragei	Liquidation Distancei	Liquidation Bufferi	MAE Safety Scorei	Leveraged Drawdown Scorei	Tail Risk Scorei	MAE Config Quantilei	MAE P95i	MAE P99i	MAE Maxi	MFE Mediani	Leveraged Drawdowni	Worst Trade Returni	Worst Trade Loss Leveragedi	Tail Returni	Tail Loss Leveragedi	Buy Ema Short	Buy Ema Long	SL	TP	Leverage Statusi	Tradesi	Max Drawdowni	Strategy Composite Scorei	Robustness Scorei