The math of 3% a month: more accounts, not more leverage

Achieving a consistent monthly return of 3% while maintaining my current risk profile is not possible through leverage or strategy optimization alone. After quantifying three distinct paths using my current baseline system (which includes all intraday sleeves and a 15% capital withdrawal policy), I have found that the only viable way forward is to scale through additional capital.

The leverage limit

I tested how increasing leverage affects monthly returns by sweeping the kcap (a multiplier for position sizing). As I increase leverage, returns do not climb indefinitely. They plateau at a monthly return of 2.123% when the kcap reaches 5.0.

kcap	Monthly Return (%)
1.5	0.936
2.0	1.299
3.0	1.795
4.0	2.009
5.0	2.123
The reason for this saturation is structural. At higher capital levels, the drawdown consumes the available cushion, forcing the dynamic kcap to shrink automatically and preventing the withdrawal amounts from growing. Furthermore, the risk of failure increases significantly as leverage rises. At a kcap of 2.0, the probability of a stress-test failure is 5.9%, but at 5.0, it jumps to 11.3%. This makes higher leverage incompatible with my goal of maintaining current risk levels.

The edge requirement

If I cannot reach 3% through leverage, I wondered if increasing the system’s edge (the daily average return) would work. I simulated a system keeping my current risk profile but scaling the daily average return by a factor of f. To hit the 3% target, I would need an f-factor of 2.0, which results in a 3.32% monthly return with zero stress-test failures. In other words, I would need to double my daily average return from 0.044% to 0.088%, effectively doubling the Sharpe ratio from 0.34 to approximately 0.7. After reviewing the 35 mechanisms explored in my previous research tracks, no such edge currently exists within the price data.

The capital path

The only remaining path is to change how I define the return. When trading on a proprietary firm account, the monthly return percentage is calculated against the total account size, while my personal financial risk is limited to the initial participation fee. With my current settings (kcap 1.8, 15% withdrawal), I generate a monthly withdrawal of 1.16%, or roughly 11,608 JPY per 1,000,000 JPY account. Given that the participation fee of approximately 13,031 JPY is recovered after the first successful withdrawal, the return on my actual invested capital is roughly 89%. In other words, achieving a 3% return on my personal capital is not a matter of interest rates, but a matter of account scaling. By utilizing multiple accounts or larger account sizes, I can reach the target mathematically. My next steps are to confirm the rules regarding multiple accounts and maximum sizing with the provider, verify these findings in forward testing with version 1.7.2, and integrate USDQ3 to potentially add another 2-3% in performance.

How this connects

This verification builds on earlier ones (what failed before and what I tried this time, comparisons between approaches).