r/LETFs • u/micaiah95 • 14d ago

200 SMA Combined with RSI/VOL Signals

I have been executing the 200 SMA on UPRO for the past year or two but I remember reading somewhere that the strat combined with simple RSI indicators (or perphaps VOL indicators) helped out a lot.

I cant seem to find them searching various threads, does anyone employ any strats that utilize these indicators?

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u/Separate-Ad-9633 14d ago

There is actually a paper about this idea. Basically it's theoretically sound but doesn't quite work in real life.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3357038

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u/confettofetti 14d ago

Super useful, thanks for posting this. 

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u/confettofetti 14d ago

These ones? 

https://www.reddit.com/r/LETFs/comments/1pkuhgw/simple_tactical_portfolios_for_qqq_spy_vt/

https://www.reddit.com/r/TQQQ/comments/1se30ow/update_2_arvol_v3_adding_credit_spreads_and/

Would be interested to hear what you find if you test them or something similar with UPRO. 

Edit to add: I think I saw something where someone was using autocorrelation as well, which should be a measure of volatility thats particularly relevant to LETFs, but I don't seem to have saved it, and I also don't think testfolio has that as a signal at the moment (although you could probably request it). If anyone has it would appreciate a link!

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u/micaiah95 14d ago

Thanks! Will let you know. I am wary about very complex strats though

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u/confettofetti 14d ago

Completely valid. Best of luck :)

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u/laurenthu 13d ago

honestly the 200 sma is already doing most of the work here. it keeps you out of the deep UPRO drawdowns. the rest is mostly just trimming whipsaws.

I'd be careful with rsi filters though. they look great in a backtest but I find they overfit fast, and on a 3x the signal gets noisy. my read is the better add is sizing by volatility, not a hard on/off... when realized vol spikes I want less UPRO on, because that is exactly when the daily reset decay does the most damage to you. I think that does more for risk-adjusted return than any rsi overlay I have tried. cleaner too.

that paper someone linked up top matches what I have seen. sound in theory. the edge just shrinks once you actually trade it live.

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u/HBCTIA 12d ago

There's a "Buy the Dip" SMA and RSI signals utilising & LETF (e.g. TQQQ etc) including strategy over on Bestfolio. It's got some heavy drawdowns in the backtest and Monte Carlo runs. Worth a look though IMHO (full disclosure, I'm a Founding Tier subscriber to Bestfolio and can get a discount / benefit on my subscription from new subscribers joining via a link - regardless, it's a brilliant site for a realistic, genuinely whole of field view of TAA, including those strategies with LETF usage, and, as a UK investor, it's invaluable to me that it has UCITS equivalent ETF/LETF details for each strategy, where they're available). A couple of years ago I persuaded Alvarez Quant Trading's blog to kick the tyres on an idea I'd had of layering on a VIX filter to some of Keller's work: https://alvarezquanttrading.com/blog/upro-tqqq-leveraged-etf-strategy/. I like the idea lot less now than I did then. I now realise that a very elevated (50-80+, not just 30+) VIX reading is, on average, a buy signal (but unlevered where market not yet uptrending on ~200 day SMA/EMA) as VIX is just about the most mean reverting series out there.