3X ETF Strategy using UPRO and TMF : 484.5 % return

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DISCLOSURE : This post is purely for educational purposes ONLY ! Do not risk real capital on this strategy. Again, purely for education purpose ONLY !

Strategy :

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)

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 ETF 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             .

Volatility : 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.


timwest PRO
2 years ago
Nice going. Do you think you can follow this methodology with real money?
Algokid PRO timwest
2 years ago
Thanks Tim ! Perhaps with 1 X ETF such as SPY/TLT, one could use this strategy but I don't think we ' ll have the same returns. I will do some testing with SPY & TLT and post the result later tonight.
2 years ago
but what about before the financial crisis ? If it's just useful in bull markets what is the interest in the strategy ?
+1 Reply
Algokid PRO AlexandreFF
2 years ago
"Note: These ETF were made available only as of June 2010. The markets has been in a bull market since 2009, so results are really bias."

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
Algokid PRO
2 years ago
May finished with 7.7 % return. :)
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