Subject: Re: leveraged ETFs rotation strategy
Well done Ray!
My findings match your own using CLOSE to CLOSE for the twenty percent drop. There are just three and they are all in March of 2020.
Date C/C DD
3/16/2020 -34.46%
3/12/2020 -27.41%
3/9/2020 -20.31%
I'm wondering if the creator actually used CLOSE to LOW for the -20% drop, since there were have been no moves from 2/11/2010 to 2/10/2020 - the ten years he references. Using this method it would produce the following moves.
Date Signal Holdings
2/11/2010 BULL TQQQ/TMF
5/6/2010 BEAR IEF
5/12/2010 BULL TQQQ/TMF
8/24/2015 BEAR IEF
8/27/2015 BULL TQQQ/TMF
3/9/2020 BEAR IEF
3/24/2020 BULL TQQQ/TMF
4/10/2025 BEAR IEF
4/25/2025 BULL TQQQ/TMF
As you can see, this only adds a 2010 and a 2015 signal prior to the ten year mark of TQQQ.
Using this revised method (CLOSE to LOW) my results come closer to what the original author stated for returns, but not perfect by any means. More importantly, what if we bring this forward to the present.
Test Results ROI CAGR GSD Sharpe DDD3 BBW Signal Drawdown Rebalance
Para-Test #1 Combined Results 5814.64% 29.68% 55.27 0.76 15.86% 2.01 100% -80.95% None
Para-Test #2 Combined Results 4792.57% 28.12% 41.34 0.83 15.25% 2 79% -78.33% Annually
Para-Test #3 Combined Results 3764.85% 26.21% 39.89 0.8 15.37% 1.85 79% -78.12% Bi-Annually
Para-Test #4 Combined Results 4241.40% 27.15% 38.75 0.83 15.28% 1.93 69% -78.09% Tri-Annually
Para-Test #5 Combined Results 4322.11% 27.30% 38.3 0.84 15.16% 1.95 73% -78.10% Quarterly
Para-Test #6 Combined Results 5046.41% 28.53% 37.98 0.87 14.94% 2.07 71% -77.36% 6x Annually
Para-Test #7 Combined Results 4025.03% 26.74% 37.81 0.83 14.95% 1.94 67% -76.77% Monthly
TQQQ held as a LTBH investment has a CAGR of 43.32% from 2/11/2010 to present with a Max DD of -81.65%. 6x Annual rebalances drops this Max DD to -77.36% (the second one from the bottom).
This method gets slaughtered in 2022.
Symbol Hold # PY Entry Date Exit Date Entry Price Exit Price % G/L
TQQQ Hold 1 1 12/13/2021 2/14/2022 $80.13 $53.43 -33.32%
TMF Hold 2 1 12/13/2021 2/14/2022 $29.87 $21.94 -26.54%
TQQQ Hold 1 2 2/14/2022 4/18/2022 $53.43 $47.13 -11.79%
TMF Hold 2 2 2/14/2022 4/18/2022 $21.92 $14.67 -33.08%
TQQQ Hold 1 2 4/18/2022 6/21/2022 $47.13 $24.38 -48.27%
TMF Hold 2 2 4/18/2022 6/21/2022 $14.64 $11.10 -24.20%
TQQQ Hold 1 2 8/22/2022 10/24/2022 $32.57 $21.27 -34.69%
TMF Hold 2 2 8/22/2022 10/24/2022 $11.61 $6.28 -45.90%