Gross exposure vs venue leverage
Gross and net exposure as a multiple of equity, recorded at every 4-hour decision in the backtest, set against the 5× leverage allowed on the venue.
- Mean gross exposure
- 0.30×
- 99th percentile
- 0.91×
- Maximum
- 1.02×
Findings
- Gross exposure averaged 0.30× equity and never exceeded 1.02×, against a 5× leverage setting.
- At the 5× setting, margin in use averaged about 6% of equity and peaked at 20.5%.
- Net exposure was long 43.9% of the time and short 43.4%, and roughly flat for the remainder.
Method
Copy-trading leaderboards display a leverage figure, which is often read as a measure of risk. That figure is the leverage setting: it caps how much a position may borrow, and therefore how much margin it ties up. P&L is driven by gross exposure, the notional value of all open positions divided by equity. A $1,000 account holding $300 of BTC has 0.3× gross exposure at a 1× setting or at 20×. The book runs at a 5× setting to keep copiers' margin usage low and sizes its positions independently of it. Gross and net exposure were recorded after every 4-hour decision in the backtest.
Results
| Gross exposure, Jan 2021 – Sep 2026 | × equity |
|---|---|
| Mean | 0.30× |
| Median | 0.26× |
| 90th percentile | 0.63× |
| 99th percentile | 0.91× |
| Maximum | 1.02× |
The annual mean ranged from 0.21× to 0.37×: 0.21× (2021), 0.27× (2022), 0.37× (2023), 0.32× (2024), 0.27× (2025) and 0.36× (2026 to date). The book held 2.8 positions on average and was flat 12.6% of the time. The largest single position reached 28.9% of equity; the 25% cap is applied at each resize, and a winning position can grow past it between resizes.
Net exposure was long 43.9% of the time and short 43.4%, and roughly flat for the remainder. Short positions accounted for 51.2% of total position-time.
Implications
Low gross exposure follows from the volatility target. Since 2021 the ten assets have run at annualised volatility of roughly 50% (BTC) to 100% (SOL, DOGE, AVAX), so a portfolio target of about 20% needs only a fraction of equity deployed. A fixed-ratio copy will accordingly leave most of its allocated margin unused for most of the time.
With exposure near 0.3× and an exchange-side stop on every position, a stop triggers well before any liquidation price is reached, so liquidation is a remote risk for this book. The larger risk is a run of failed trends (Note 03).
Limitations
Exposure is measured at 4-hour decision points; moves within a bar can take it briefly higher. Live exposure is reported on the track record.