BasisOS
  • INTRODUCTION
    • What is BasisOS
    • Key Concepts in Basis Trading
    • Vision and Value Proposition
  • Basis Vaults
    • Architecture Overview
    • Components and Interactions
    • Managed Approach
    • Execution Flow
  • BASISOS AGENT
    • Overview
    • Core Components
    • System Design and Interactions
    • Agentic Roadmap
      • Stage 0: Assistant
      • Stage 1: Maintainer
      • Stage 2: Curator
      • Stage 3: Sovereign
  • TOKENOMICS
    • Token Distribution
    • Liquidity Mining
      • Distribution Mechanics
      • Rewards Schedule
    • Mindshare Mining
      • Distribution Mechanics
      • Rewards Schedule
  • CORE PROTOCOL
    • LogarithmVault
    • BasisStrategy
    • SpotManager
    • OffchainPositionManager
    • GmxV2PositionManager
    • Contract Addresses
  • RISK MANAGEMENT
    • Funding Risk
    • Liquidity Risk
    • Risk Framework
      • Margin Treasury
      • Maximum Leverage
      • Asset Clustering
      • Strategy Capacity
    • Backtests
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  1. RISK MANAGEMENT
  2. Risk Framework

Maximum Leverage

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Last updated 1 month ago

Maximum Leverage (RLmax) sets the upper limit on the leverage that the strategy can safely employ. It is defined such that there is only a 1% probability that an adverse price movement, occurring without any rebalancing, will breach the critical liquidation threshold. This parameter is crucial in preventing excessive risk and potential liquidation.

Technical Details:

  • Adverse Price Movement: The calculation is based on the 99th percentile of a 15-minute price change distribution, denoted as Q(15m)0.99Q(15m)_{0.99}Q(15m)0.99​

  • Leverage Formula: RLmax is determined by comparing the current price to a critical threshold PMTPM_TPMT​ adjusted by the extreme price movement: RLmax=L(PMT1+Q(15m)0.99)RLmax = L\left(\frac{PM_T}{1 + Q(15m)_{0.99}}\right)RLmax=L(1+Q(15m)0.99​PMT​​) where L(p) denotes the leverage at price p.

  • Purpose: This parameter ensures that even in the case of severe market moves, the system’s leverage remains within a safe boundary, thereby limiting the liquidation risks.