Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation

Table 5

Rebalancing order quantity per trade.

		0.1	0.2	0.3	0.4	0.5
	10	1	2	3	4	5
	20	4	5	6	8	10
	30	8	8	10	12	15
	40	—	12	14	16	20
	50	—	16	17	20	25
	60	—	—	21	25	30
	70	—	—	25	29	35
	80	—	—	28	33	40
	90	—	—	32	37	45
	100	—	—	35	41	50