Leveraged ETF Strategy Tester

Jul 16

A comprehensive backtesting tool for comparing three distinct leveraged ETF investment strategies with customizable parameters, visual indicators, and risk metrics.

Features:

• Test three proven strategies side-by-side
• Fully customizable parameters via settings
• Visual buy signals color-coded by deployment tier
• ATH tracking and drawdown bands
• Monthly contribution support
• Sharpe and Sortino ratios for risk assessment
• Separate tables for statistics and strategy descriptions

Strategy 1: Stars (Lee Ekholm)
A rebalancing strategy that maintains a conservative 20% TQQQ / 80% SPY base allocation with an automatic risk-on mechanism during severe drawdowns.

How it works:

• Annual rebalancing at 20/80 allocation
• When TQQQ drops 40%+, shifts to 40% TQQQ at next rebalance
• Skips rebalancing for 1 year after market bottoms
• Resets to base allocation after TQQQ recovers to new ATH
• Monthly contributions accumulate and deploy during rebalances
• Best for: Long-term investors seeking systematic exposure increase during crashes

Strategy 2: BD Collins 80/20 DCA
A four-tier dollar-cost averaging strategy that deploys cash more aggressively as drawdowns deepen, automatically buying more during corrections.

How it works:

• Accumulates monthly contributions as cash reserves
• Deploys at quarterly intervals (customizable)
• 4 deployment tiers based on drawdown from ATH:
• 0-15%: Deploy 20% of cash
• 15-25%: Deploy 40% of cash
• 25-35%: Deploy 60% of cash
• 35%+: Deploy 80% of cash
• Best for: Investors wanting automated "buy the dip" behavior with increasing aggression

Strategy 3: Henrique Centieiro's Strategy (1/3 Cash)
A simplified three-tier approach with clear escalating deployment levels based on drawdown severity.

How it works:

• Baseline: 20% deployment near ATH
• 20% drop: 33% deployment (1/3)
• 40% drop: 67% deployment (2/3)
• 60% drop: 100% deployment (full cash)
• Monthly contributions accumulate and deploy at chosen cadence
• Best for: Investors preferring a simpler, more aggressive deployment schedule with clear trigger points

Color-Coded Buy Signals:
Strategy 1: Aqua (normal) | Orange (40% trigger active)
Strategy 2: Green (20%) | Yellow (40%) | Orange (60%) | Red (80%)
Strategy 3: Green (20-33%) | Orange (67%) | Red (100%)

Note: This indicator is for educational and backtesting purposes. Past performance does not guarantee future results. Leveraged ETFs carry significant risk and may not be suitable for all investors.

3 days ago

Release Notes

Release Notes - Strategy 4: BD Collins 14-week SMA
New Strategy added:
Strategy 4: BD Collins 14-week SMA (Advanced)
Weekly trend-following strategy based on the 14-week Simple Moving Average with trailing stop loss protection.

Key Features:
Non-repainting signals: Uses confirmed weekly data to avoid look-ahead bias
Entry rules:

• Enters TQQQ at Monday open when:
• Weekly close is ABOVE the 14-week SMA
• Weekly candle is green (close > open)

Exit rules:

• Exits TQQQ at Monday open when weekly close drops below trailing stop threshold
• Trailing stop: 40% drop from highest point since entry (customizable)
• Violent break exception: If weekly close falls >10% below exit threshold, exits at Friday close instead of waiting for Monday

Cash asset allocation: Holds a cash alternative (VDST, SGOV, BIL, SHV) when out of TQQQ
Monthly contributions: Automatically invests contributions in current position (TQQQ or cash asset)
Full backtest metrics: Win rate, number of trades, max drawdown tracking

Visual Indicators:

• Purple line: 14-week SMA
• Green line: Trailing high (when in position)
• Red line: Exit threshold (when in position)
• Background color: Green (in TQQQ) / Red (in cash)
• Green triangle: Buy signal (Monday open)
• Red triangle: Sell signal (Monday open or Friday close)

Customizable Parameters:

• SMA length (default: 14 weeks)
• Exit drawdown % (default: 40%)
• Cash asset ticker (default: VDST)
• Violent-break exception toggle
• Violent-break margin % (default: 10%)

Statistics Display:

• Current position (IN TQQQ or IN [cash ticker])
• Total trades with win rate percentage
• Standard metrics: portfolio value, total return, Sharpe ratio, Sortino ratio

2 days ago

Release Notes

All fixes are working correctly:

✅ Exit logic reordering - Checks exit condition BEFORE updating trailing high (lines 459-499, then 502-504)
✅ Cash price fallback - Uses $1.00 default when VDST data unavailable (lines 476, 514)
✅ Pine Script syntax - Sequential if statements instead of problematic ternary (lines 471-479)

15 hours ago

Release Notes

Strategy 4 v2.0 Release Notes
🎯 Overview
Major update adding extensive configurability and alignment with BD Collins' published rules. Strategy 4 is now a flexible testing framework rather than a fixed implementation.

✨ New Features (5 Parameters)
1. Exit Trigger - Choose detection method:
Intraweek touch (book) - exits when weekly LOW touches threshold
Weekly close below (original) - exits only on close below threshold
2. Trailing Peak Source - Choose what to track:
Weekly high/wick (book) - full volatility capture
Weekly close - smoother behavior
3. Start Invested - Control initial position:
OFF (default) - wait for first signal
ON (original) - invested from bar 0
4. Require Green Candle - Toggle entry condition:
OFF (default) - only above SMA needed
ON (original) - requires green candle + above SMA
5. Transaction Costs - Model realistic costs:
Default: 0.10% per leg (0.20% round-trip)
Configurable 0% to 5%

🐛 Critical Fixes
Trailing Peak Timing: Now updates BEFORE exit check (was after), ensuring threshold reflects current week's data. Provides more responsive exits.

Cash Pricing: Eliminated $1.00 fallback. Now tracks cash as ticker shares OR USD with gap warnings displayed in stats table.

🔄 Breaking Changes
New Defaults:
Start Invested: OFF (was always ON)
Green Candle: OFF (was always ON)
Exit Trigger: Intraweek touch (was close only)
To restore v1.x behavior: Enable Start Invested + Require Green Candle, select "Weekly close below (original)"

🎯 Quick Start Configs
Book-Accurate (recommended):
Exit: Intraweek touch | Peak: Weekly high
Start: OFF | Green: OFF | VB: OFF | Cost: 0.10%
Conservative:
Exit: Weekly close | Peak: Weekly close
Start: OFF | Green: ON | VB: OFF | Cost: 0.20%
Aggressive:
Exit: Intraweek touch | Peak: Weekly high
Start: ON | Green: OFF | VB: ON | Cost: 0.05%

📊 Enhanced Stats
Row 11: Shows active mode config + cash gap warnings
Position: Now distinguishes IN TQQQ / IN VDST / IN CASH
Descriptions: Dynamic text reflects your actual settings

⚠️ Known Issues
Some cash tickers (VDST, SGOV) have limited historical data before 2022
Consider SHV or BIL for longer backtests

📈 Performance Impact
Transaction costs: 0.10% per leg ≈ 2-5% total return reduction over 15 years
Intraweek touch: Exits 1-3 days earlier in crashes (5-15% less drawdown)
Weekly close: More stable, fewer whipsaws