This strategy is very simple. We invest in 50 % in S&P 500 ,and 50% in 20 years treasury. Now to maximize return, we are going to invest in 3X leverage ETFs, UPRO ;Proshares UltraPro S&P500 , and TMF ; Direxion shares trust 20 years Treasury. We will re-balance the portfolio at the beginning of each quarter( if necessary..see rules)
1. Invest ONLY if SPY is above 200 ma
2. 50 % in UPRO/ 50 % in TMF
3. Rebalance portfolio at the beginning of each quarter IF SPY > 200 ma
4. Close all positions if SPY < 200 ma at month's end.
Back testing Results :
Note: These were made available only as of June 2010. The markets has been in a bull market since 2009, so results are really bias.
2009 : 25.7 % vs 22.3 % for SPY
2010: 44.5 % vs 15.1%
2011: 65.7 % vs 1.90 %
2012: 30.3 % vs 16.0 %
2013: 21.7 % vs 32.3 %
2014: 22.5 % vs 3.5 %
So far Q2 , 2014, the system is up 8.3% vs 1.1 % for the SPY .
: 23 % vs 16.4 % , That is very high
Max DD : 20.69 % vs 18.61 %
CAGR : 484.5 % vs 127.7 % ( from June 2009 till yesterday close)
I will update this post on a monthly basis. Again, this is PURELY for educational purposes only! , cannot stress that enough.
Dunno how this will perfom in a bear market. As per the rule 1 , we should be in this strategy only when the market is in a up trend, BUT, technically , the performance should still be acceptable in a bear market , as we expect TMF ( 20 yr treasuries) , to outperform UPRO. We shall see in the next bear market ( whenever that 's coming) I will compare this strategy to one where we are invested at all times, no matter of market conditions