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%