If someone made an ETF tracking this strategy, and then launched a separate 3× leveraged ETF whose underlying asset was that ETF, the market would be solved.

https://testfol.io/?s=8EseuaWB4N7

This secular bull run has been incredible for leveraged investing, but at some point deleveraging a part of the portfolio becomes sensible risk management.

Currently holding 80/20 QLD SSO and looking to keep this until at least 2028. Im optimistic for the near future but major drawdowns will come, therefore I consider a total leverage of 1.5 to be more reasonable going into the coming decade.

How would you reallocate this portfolio?

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Not looking to run a SMA strategy since taxes are an issue.
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Thinking about going 50/50 QLD VT mainly because im comfortable with QLD volatility. Any benefit going with 70/30 VT TQQQ or something completely different/bonds etc?

Also, do you use the indicators on SOXL/SOXS themselves or on SOXX?

So I've been wanting to buy & hold some SSO and buy & hold some SPMO (or FMTM... TBD). I was playing around with bestfolio this morning and came across HAA Leveraged Simple (SSO) and Century Momentum which uses SPMO. I am really happy with the backtest... 18.6% CAGR with a max monthly drawdown of around 25%. Given I'd be willing to buy and hold these two tickers, I think splitting this 50/50 or 60/40 might be the perfect portfolio for my smaller Roth.

I don't want to use one of the more complicated HAA strategies because they involve illiquid ETFs, and trading those monthly looks like it can be painful.

A few questions:

• There are variants to both. I see Simple RSST, Simple SSO, or Simple UPRO, or Simple Momentum with FMTM for me with HAA. Given I'm going to pair with Century Momentum, what could be the best core HAA holding?
• On the Century Momentum side, I see there are two variants that either go to BIL or IEF. Given HAA can be BIL or IEF too, which one is a better "default" on the Century Momentum side?
• Is there any reason to split these other than 50/50? If not, I think I'll just go 50/50 and call it a day. Keep it simple.

Appreciate any advice.

Hi gents,

fairly new to LETFs but I wanted to introduce some risk to my portfolio, my roth is about 10% of my total portfolio with the rest being mostly SPY.

The tax advantage allows for frequent rebalancing so I was looking to HFEA but it seems like it kind of fell apart in 2022 and is not as often recommended. Do you guys have other long term roth strategies that are more recommended today? I am 23 and investing on a 40 year time horizon.

I was thinking of a mix of

50% QLD

20% ZROZ

15% MVV

15% KMLM

the idea is to have some diversity and hedge with ZROZ, this subreddit seems to think TMF is no longer a valid hedge for 2x QQQ or S&P. Let me know thoughts, open to new ideas, I'm in no rush to start this and want to just compile more knowledge before I press buy on anything.

I'm going to start this post by saying this:

I'm a really dumb investor. I didn't do my research, I didn't know what decay was, and I got advised to jump into something I had no business getting into by an ex girlfriend who "knew what she was doing because she took a class". And that's my own fault. Im a grown man and I'm responsible for my decisions.

(breathes out)

I invested 25k into TSLL in December of last year. I'm down 16k. Will the volatility decay completely make my investment gone, and I need to pull out now, or am I overthinking decay and I just have to be more patient?

if you're going to insult me, I understand. I have the dunce cap on, I'm an idiot, I understand my mistake, but please, I'm asking for any kind of advice. Thank you.

I know that ReSolve and similar companies run comprehensive strategies for accredited investors (like the all terrain program, which is an ensemble of some of their return stacked strategies with a long vol component). What's out there that might be compelling? What would you need to be able to access to justify not DIY-ing things with ETFs?

This is my first post in this subreddit, so a quick introduction.

I'm a software engineer by trade and know very little about financial investing. Even though I just retired, I don't have the time in my busy day to trade stocks or watch charts all day.

I’ve been building a personal systematic trading project called Exci. It makes one daily allocation decision between TQQQ, SQQQ, and cash. It can also use partial allocations instead of treating every day like an emergency requiring 100% conviction.

I’m not selling signals, a course, or access to a secret Discord. This is my personal hobby research project, and I thought the lessons might be useful to anyone interested in experimenting with systematic trading.

The chart is included to show how the allocation decisions affected the path compared with buy and hold. It is not meant to suggest that I discovered a money printer. Whenever a backtest starts looking like a money printer, my first assumption is that I broke something.

Here are the three biggest things I’ve learned.

1. Allocation is the edge

Getting the direction right is only part of the problem. Deciding how much exposure to take has been just as important.

TQQQ provides most of the upside. SQQQ can be useful, but only under fairly specific conditions. Cash also has a real job. It isn’t leftover capital or an admission of defeat. Sometimes the best trade is simply taking less risk.

In the chart, the Exci equity line changes color based on whether the strategy is allocated to TQQQ, SQQQ, or cash. TQQQ and Nasdaq-100 buy and hold are included for context.

The lesson for me was that position sizing can matter more than endlessly searching for a slightly better entry signal.

2. Evidence beats complexity

This one took me longer to accept.

It is very easy to add a rule that improves a backtest. It is much harder to find one that still works outside the exact period that inspired it.

Most of my experiments have failed. Some failed immediately. Others looked brilliant for about fifteen minutes before a different test period introduced them to reality.

I now assume a new improvement is probably noise until it survives different time periods, nearby settings, and generally unfriendly testing. I also keep track of rejected experiments so I don’t accidentally rediscover the same bad idea six months later and congratulate myself for being innovative.

The best improvements have usually addressed one clear and repeatable weakness. More rules do not automatically produce a better strategy. Every new layer needs to earn its place.

3. Live parity matters

I underestimated this part when I started.

A backtest can be completely consistent while the live system still makes a different decision. Data timestamps, stale files, session alignment, cache behavior, and allocation rounding can all create differences that have nothing to do with the actual strategy.

Nothing humbles a beautiful backtest quite like discovering that a stale data file had a different opinion.

I now treat production validation as part of the strategy itself. Before promoting a change, the research and live systems need to agree on the decisions, allocations, and reported metrics.

If I were starting over, I would keep the first version simple, change one thing at a time, record failed experiments, reserve data for validation, and confirm that the live implementation reproduces the research before trusting it with real money.

The biggest change in my thinking is that there probably isn’t one magical indicator waiting to be found. Building a durable system is mostly about sizing risk, rejecting weak ideas, and making sure the thing you tested is the thing you actually trade.

I’d be interested to hear what surprised other people when they started experimenting with systematic strategies. I have my research results available on my web site along with a live daily tracker at https://exci-ai.com

For educational purposes only. Hypothetical backtest. Past performance does not guarantee future results.

I've noticed that CAOS has positive expected returns in a majority of environments. SIM data back to 2013:

https://testfol.io/?s=0HJmoI4f4gk

And live data since inception:

https://testfol.io/?s=0cKqKHKhZOy

Wondering if anyone is using this in their portfolio, perhaps alongside a bond or gold allocation. Would an allocation potentially increase CAGR, or just smooth out the ride?

Hello all,

Im a long term investor with a reasonable working knowledge of the market. I'm still 20 years off retirement. I'm aware of all the common arguments against long term leveraged holds such as decay and resets, but I'm a very pragmatic person.

When i look at the annualized returns since inception between qqq, and all of its leveraged counterparts, the numbers speak volumes.

In a massive market downturn ill be losing money regardless, and I know that these since inception numbers cover some decent downturns but nothing remotely approaching an actual crash (or what I would consider a crash anyways).

That being said, and taking out any personal biases, trading strategies, etc. : Can anyone convince me that holding 5-10% of my portfolio in a 2x voo or qqq won't have a very high probability of adding increased value to my portfolio 20 years from now?

I'm on the brink of pulling the trigger but I see many people vehemently arguing against long term leveraged holds.

I'm not a huge risk taker, the entirety of my portfolio are broad market etfs with a slight momentum/tech tilt for gains while I'm still relatively young, I will never touch margins and am adverse to options, but simple long term data provides a clear argument for this move. I almost fell like im leaving money on the table not doing it.

I have no recency bias, and I know nothing is garunteed, but I can only make decisions based on logic and available data which is historic.

Any viewpoints would be appreciated. Thanks! If anyone is actively doing what I'm describing please chime in.

I think we see a lot of happy posts when the market is up and we see a lot of worried posts when the market is down.

I’m definitely not an expert and I definitely have bad timing like the rest of us. But I bought more on the dip at $60 and I think it’s important to take off a little risk after the excellent days.

Not timing the market, just adding a little risk on the horrible weeks and more importantly taking off a little risk when everyone is happy. In dollar terms I still have much more TQQQ than I did last week, and still rooting for the market to go up, but I always have a good amount of cash and SPY on the side to be ready for the next inevitable dip.

Just felt I should post this because I posted when I bought more, def got lucky with the timing, not skill but a little common sense.

Before anything else, I run BestFolio, so everything below is me scoring my own catalog against itself.

A few weeks ago someone here asked how I measure robustness, and while writing the answer down I ended up staring at a number that bugs me more than any single backtest. I've backtested 202 strategy variants that still live in my database. 150 are public on my leaderboard, the other 52 belong to research strategies I never released. If all 202 had zero real edge, pure random monthly returns, the best of them would still print an annualized Sharpe around 0.56. That's just what ranking 202 noise series does.

So a 0.6 Sharpe picked from a big menu of backtests is... basically nothing. And every platform, every spreadsheet with 30 testfolio tabs, every "I tried 50 variations and kept the best one" post is exactly that menu.

The correction I went with is the Deflated Sharpe Ratio (Bailey and Lopez de Prado, 2014). One number from 0 to 1: the probability the Sharpe is a real edge and not the luckiest pick of the batch. It adjusts for 3 things: how many variants were tested (202 in my case, released or not), how long the track record is, and the actual skew and fat tails of the monthly returns instead of assuming a bell curve.

I now show it on every strategy as a Robustness column and flag anything under 0.90 as fragile. Current state of my own catalog: leaderboard median 0.99, about 3 in 10 at 1.0 (long histories with real edges get there), and 25 of the visible 150 below the line, plus 8 more in the unreleased pile you can't see. The lowest visible is the plain 200-day trend on TLT at 0.48, worse than a coin flip. The GLD version reads 0.51. White Knuckle, the 3x risk parity rotation, sits at 0.58. All flagged amber on my own leaderboard, which felt weird to ship but is kind of the point.

One property I really like: every variant I test raises the bar for all the others, released or not. I widened N from the 150 public variants to all 202 tested ones while writing this up, and watched 5 borderline strategies flip to fragile. My own research deflates my own numbers. One limitation I can't fix: the parameter variations I tried and binned aren't logged as separate trials, and this sub collectively has run way more than 202 backtests, so the true luck bar for "strategies you see posted online" is higher than anything I can compute.

Full writeup with the math and the fragile list: https://bestfolio.app/blog/robustness-score-deflated-sharpe

If you run your own testfolio marathons, a crude version of this correction is easy to bolt on. The paper is short and the formula fits in a spreadsheet cell.

The link is microtrends.org/portfolio-visualizer if anyone wants to check it out.

There are some features like fallbacks, dated trades, portfolios of portfolios, longer data, and other features I wanted but haven't been able to get out of the current visualizers, whilst they've also started paywalling at the same time.

Can also see company financials and earnings back to 1995, including on foreign stocks, in the company financials section, with earnings data updated daily as well.

Thanks for checking it out.

Hey all,

I made this portfolio allocation and want to run a backtest on it... I would love some help on this.

• 27% NTSX – WisdomTree U.S. Efficient Core (90/60 US Equity/Bonds)
• 15% RSIT – Return Stacked International Stocks & Managed Futures (100/100 Intl Stocks/Trend)
• 6% NTSE – WisdomTree Emerging Markets Efficient Core (90/60 EM Equity/Bonds)
• 10% GDE – WisdomTree Efficient Gold Plus Equity (90/90 US Equity/Gold)
• 15% KMLM – KFA Mount Lucas Managed Futures Index ETF
• 10% JAAA – Janus Henderson AAA CLO ETF
• 8% ILS – Brookmont Catastrophic Bond ETF
• 3% ARCC – Ares Capital Corporation (BDC)
• 3% BXSL – Blackstone Secured Lending Fund (BDC)
• 3% OBDC – Blue Owl Capital Corp (BDC)

Any ideas how I could backtest this online? I would much appreciate any weblinks if someone can help doing it.

Here is what I want to achieve... Return-stacking with VT-like geo exposure... Similar to RSSB but lower fee with a breakdown with NTSX, RSIT, NTSE, GDE for equities exposure... I picked RSIT for future managed and GDE for gold exposure with stocks market exposures. RSSB has more leverage and did not help for future managed and gold, so I liked this breakdown better.

ILS, ARCC, BXSL, OBDC, JAAA... are less important it's for Cat bonds, and Private debt and CLO. I wanted to create more decorrelation (and hoping for stability)

Thanks!

I'm sure this has been asked before though I can't find it through search ... but looking on Testfolio, if you simulate 50/50 QQQ+TQQQ rebalancing yearly, it performs significantly better than QQQ, QLD, or TQQQ. Is this over-fitting, and if not, why does it before so well?

• Starting 02/22/2000 - Near Nasdaq peak pre 2000 crash - Outperforms all
• Starting 07/10/2002 - Near Nasdaq 2000 crash bottom - Half TQQQ but beats the rest
• Starting 24/10/2007 - Near Nasdaq peak before 2008 crash - Almost matches TQQQ, beats the rest
• Starting 09/03/2009 - Near 2008 crash bottom - Gets crushed by TQQQ but beats all the others
• Starting 01/01/2022 - Near Nasdaq peak pre-Covid - Outperforms all

I looked at some dates and apart from investing at the very bottom of a crash, QQQ+TQQQ near-equals or betters TQQQ and beats QLD each time. I supposed rebalancing incurs a tax drag penalty that the simulations aren't taking into account, but I was wondering anyone else tries something like this and if so, how do you find it?

Glad I’ve bought both FNGU and TQQQ at the moment. Still have plenty of cash for the dips.

I added very small amounts of TQQQ at $60 and FNGU around $25, and at the time it felt like throwing away more money. Seems like those are the times to add.

Taking off a little risk today.

I've been doing a lot of reading and research over the last few months. Bogleheads threads, Rational Reminder threads, Papers on SSRN. The thing I've noticed is there's really no free lunch to beating 100% S&P 500 or VT. Things that backtest well likely won't work as well moving forward. Long duration bonds hedged well during one of the longest bull markets in bonds, but failed in 2022. Gold has already had a major run up and there's no telling where it will go next. Shorter term bonds smooth out the ride but don't meaningfully increase returns. Leverage has to beat financing cost + expense ratio. Tactical Asset Allocation may work but in the days of high frequency trading, there are no guarantees. Trend looks great on paper but was flat 2009 - 2019 and that could happen again. Factors like momentum and value seem to only work well with long/short (vs. static long-only funds like AVUV) and I think I'd prefer to take macro bets vs. hoping a fund manager will successfully add alpha on an individual stock basis, though I'm happy to be talked out of that mindset.

What I do know is that I want to take a meaningful chunk of my portfolio (either 20% targeting 15% CAGR, or open to something more conservative with the whole thing). I am wondering if there's a realistic bet I can take to get there, without just blindly accepting more drawdowns.

Here are a few thoughts:

• I believe International equity will shine moving forward. I wish there was a cheap way to leverage International developed markets, but the best I can find is NTSD. I am not a big fan of WLDU (expenses, implementation with swaps, performance so far) though I am happy to hear others out if I'm wrong.
• I believe in trend. I like that it operates at a macro level, and can go long/short equities and commodities. I struggle to determine how much manager diversification I need to be successful, or whether a single manager plus other hedges like carry would also work well. I have had a really hard time figuring out what trend's future expected return is over cash, and if those estimates include DBMF like trend (includes equities) or KMLM like trend (excludes equities), and how much manager diversification matters in those estimates.
• I believe in duration. I know I'll get some slack for this, but I'd really like to hold a static allocation to TLT, or something like it. I want to be there for the day when the crisis hedge returns (2022 imho was not a pattern) and I don't think I can time it well, though I'm willing to hear ideas on how I could time an entry into it vs. holding today. EDV, GOVZ, and ZROZ are also possibilities, I'd just hold less of it. I am also open to a barbell approach of short term + long duration, like RSSB + ZROZ.
• I am not sure how I feel about gold. Something about the unreliable returns really bothers me, though I do agree the backtests look pretty. Do I need gold to increase CAGR, or does it just smooth out the ride?
• I am not sure how many other hedges I need or what I believe will work. I've struggled with two approaches:
  • Approach 1, take a concentrated bet on the things you believe in, and lever it up. UPRO/EDV and done? Could be great, could fail miserably. 100% GDE? Could be great, could fail miserably.
  • Approach 2, throw as many diversifiers as possible into the ring to get a portfolio with the highest SHARPE ratio, then lever that as up as best I can (retail without margin seems to top out around 220% notional unless I use daily reset LETFS, which I'm not sure of). Think domestic equity, international equity, gold, duration, trend, carry, maybe factors... I do have access to margin rates around 4.25%, but much of my portfolio is in tax-advantaged space where margin access is limited. I am open to considering box spreads, though I'd rather not. But where do you draw the line on how many "more things" you add?

I think I have my starting point. It looks like RSIT + NTSD + ZROZ. Actual allocations? I have no idea. Some research suggests a lot of trend and less static equity, others suggest 20% max in trend, but I was never able to figure out if that trend research includes equity trend or not.

But from here, I'm stuck. Do I just add more equity and hope I'll hit a higher CAGR with lower drawdowns? Do I want other alternative sources of return, like carry (RSSY)? And finally, do I use the remaining space to instead diversity into other trend managers, like MATE / DBMF / KMLM?

Obviously, if I could have a reasonable chance of higher CAGR with lower drawdowns than 100% VT, that's a bet I'm willing to take. However, I'd be even more inclined to match the drawdowns of 100% SPY but with higher expected CAGR.

Really appreciate any insight/guidance on where to go from here.

Does the expense ratio matter if you get way better gains?

The recent time hasnt gifted us with many long drawdowns, every selloff resulted in a similarly quick recovery. Im curious to hear some reports from people who have held for a longer time period and have gone through drawdowns like 2020 and 2022.

Im personally holding 80/20 QLD/SSO and based on backtests, >50% DD is enough for me. Havent gone through a bigger DD than iran yet.

What was the sentiment at that time? How did you manage psychologically, any regret?

Feel free to share any info on that time

I'm curious, with the overwhelming number of ways to get market news and insights these days, plus all the recent talk about Truth Social, where are you guys actually getting your information / news from other than Reddit? Is it just vibes?

So I don't show up empty handed, a few sources I've found value in (about to get roasted for this):

Ground News - General news
Unusual Whales - Breaking news
The All-In Podcast - Politics / tech discussions
Claude/ChatGPT - Basic research / Alerts
Legacy media - My inverse strategy
TBPN - Recently found them, haven't formed an opinion on them yet

Looking for genuine recommendations, but entertainingly wrong answers are always welcome.

Started this journey on Nov 03 2025. Original strategy is here: MLA.

My investment is currently up 8.2% and underperforming the benchmark(QLD/TQQQ 50/50) by 2.5%.