SPEC-EAV-001 v0.2 · Layer L2 Risk management
K-09 Effective leverage
K-09 measures leverage as it was actually carried, not as an average. The time series of total concurrent notional exposure divided by equity is constructed, and its maximum and upper percentiles are reported.
What it examines
Total notional exposure held at each moment, against equity.
How it is computed
Time series of summed concurrent notional exposure ÷ equity. Report the maximum and upper percentiles. Where margin records are supplied, computed directly without interpolation.
What a defect means
Average leverage can be low while a single moment exceeds the limit, and that one moment decides the account.
Judgment states
| Pass | The structure is observed and meets the threshold. |
|---|---|
| Caution | The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside. |
| Defect | The structure is not observed, or clearly falls outside the threshold. |
| Not judgeable | The required input data is absent. Marked distinctly from a pass. |
Threshold
Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.
Basis
Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).
Questions this item answers
- What is my EA's effective leverage at peak exposure?
- Why is average leverage a misleading number?
Related items
K-06Correlation of concurrent positionsK-08Response to volatilityK-01Position sizing independence
Related terminology
Revision · SPEC-EAV-001 v0.2 · 2026-08-21