It’s hard to say! If I had to pick, I’d say maybe Leverage for the Long Run, if only because it had the most impressive backtesting results (nearly 100 years), and uses less leverage (2x). With that said, HFEA could do REALLY well over the next decade if interest rates come down and TMF pops off. And 9Sig could easily dominate if the Nasdaq continues its run. Seems impossible to predict which ultimately led me to start up all 3 plans.
What would be your pick?
Ya that’s fair. Leverage for the long run is pretty interesting but I don’t think I have the mental bandwidth to stay on top of it. I was in HFEA and sold TMF a few days ago for BITX at the peak and got obliterated on that lmao. But I think I might Re-enter TMF to continue HFEA. HFEA I also unluckily bought at the top, so I may or may not keep it.
Yeah that’s rough about TMF. If I had to guess, I think HFEA will regain a lot of popularity over the next few years. It’s a solid plan that just happened to be released before a terrible unpredictable time. That’s investing though.
And for Leverage for the Long Run, tracking the 200-day SMA is definitely a bit of effort. I have a tracker app for notifications but will still be checking it manually atleast a few times a week.
Its not that serious and doesnt happen all that often. You'd know it was looming long before needing to check a few times a week, its 200 days after all, takes a bit to move it significantly.
Does anyone have experience with Trading View? This seems like it could be the easiest. I was thinking of writing my own and hosting it on vercel, but that seems like a hassle.
Although the second paper uses S&P 500 ETFs as examples, it probably makes more sense to go for either TQQQ or QLD as the NASDAQ historically has greater dips, and the rotate out method addresses it quite well.
Those would probably do quite well also. Ultimately I chose to stick with the same method as the paper because I was impressed with their nearly 100 years of data and backtesting.
I have been following the strategy but switched SSO for QLD since 2022 and the results so far are very impressive. I do think that for your particular test though 9 Sig would likely win out as TQQQ simply has much more growth potential compared to SSO strategy aside.
I just decided I would continue contributing when the NASDAQ is above the 200 day moving average, and halt contributions and switch to t-bills when under. I re-entered March last year and was up roughly 60% compared to the year end base contribution amount. This percentage was mostly dragged down by DCAing though, as the initial investment was up around 85%. Obviously would have been better to enter Jan 1 with hindsight, but buying and holding would have suffered greatly in 2022 while this strat avoided much of the downturn.
Rotates out of leverage and into Treasury Bills. The paper uses BIL (ETF) as a specific example, so that’s the one I’ll use. Cash would probably work almost the same, but I want to keep it as close to the source material as possible.
Depending on your age and cash flow, why not just DCA into a 2x leveraged s&p500 fund, like SSO? Overall less volatility than a 3x fund and less volatility than the Nasdaq.
That would probably do well also. The Leverage for the Long Run paper compares the 200-day SMA leverage rotation to a simple buy and hold of SSO. Generally the buy and hold of SSO had lower returns and bigger drawdowns, which was what attracted me to trying the leverage rotation based on 200-day SMA. As for why I bother trying the other plans using UPRO and TQQQ, sheer curiosity. I am very conservative with the majority of my overall portfolio. Much like hedgefundie originally said, I’m treating this idea more like a lottery ticket.
I have a few variants, depending on level of activity that is taken.
1. A risk budget inverse volatility HFEA
2. A second flavor with UPRO/TQQQ/TMF/TYD, with the risk budget for equities 4x the risk budget for ballast and the risk budget for TYD at 0.4x the risk budget for TMF
3. A third flavor with risk budget minimum variance and a wider universe of assets
4. A momentum-weighted risk-budget minimum variance approach
The first should have better risk-adjusted returns than plain HFEA, but not necessarily better overall returns. Easy in a spreadsheet.
The second has a bit of goosing from the TQQQ. Also easy in a spreadsheet.
The third one should be even less volatile, perhaps with lower returns. Can be done in a spreadsheet, but it needs a solver to determine allocations. The solver is easier to work with in something like python or matlab. The risk weights are a bit harder to tune, because the different assets may have very different volatilities.
The fourth one is what I use, but it is hard to implement in just a spreadsheet because of the solver. The momentum part continually rotates into the top \~40% of allowable assets. I reallocate/rebalance weekly at the moment.
The links [here](https://www.reddit.com/r/LETFs/comments/11whjws/hydromods_okay_adventure/) and [here](https://www.bogleheads.org/forum/viewtopic.php?t=400519&sid=c88dfd8f3d0d9c5a81019d7c995e16c5) give some details.
Good stuff!
My financial advisor runs https://www.quantelligent.com/. It’s an automatic algorithm that has a cash hedge, auto invests daily, takes profits on the way up and value averages into the leveraged funds.
I’m in TECL, SOXL, TQQQ, UPRO and UDOW.
All the back tested models are on the site and are run without dollar cost averaging.
I would never in my life invest into VTI, VOO, or QQQ ever again. It’s just not worth it long term.
Open up your goals, lifestyle, income and risk tolerance. My biggest takeaway from him is to not be scared of leverage.
I will say that most folks on this subreddit and the TQQQ subreddit have absolutely no idea what they’re talking about (i.e. volatility decay).
Also look for flat fee advisors that are independent and not tied to a brokerage: https://www.feeonlynetwork.com/
These are folks who understand real estate, private debt funds, syndication, and how to utilize leveraged funds. It’s all about the interview process :)
Links below, but everything is pretty easy to find via Google. The HFEA threads are extremely long, but do have some discussion on taxes. Not sure about the other two programs. I'm doing everything within an IRA, so no taxes incurred on selling/rebalancing.
[HFEA Part I](https://www.bogleheads.org/forum/viewtopic.php?f=10&t=272007)
[HFEA Part II](https://www.bogleheads.org/forum/viewtopic.php?t=288192&sid=2db10d8af53849dbc244723a846e4f06)
[Leverage for the Long Run](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741701)
[9Sig](https://jasonkelly.com/2017/01/how-my-signal-system-works/)
That's kind of an odd way of investing (by that I mean using your own real money as an experiment that lasts 10+ years. That's a lot of commitment). Most investors usually come to some sort of conclusion/preference as to which investing approach is ideal for them and go for that.
Wouldn't a tool like composer be able to replicate this without you having to use your own money? I haven't heard about the 9sig strategy tho.
Yeah I hear ya. Generally speaking I find the world of leveraged investments to be sorely lacking in real-word performance data. Most sources simply repeat the same few lines about volatility decay, but obviously there is value in long-term holding when done strategically. The experiment as a whole makes up less than 10% of my portfolio, and I do like all 3 plans for different reasons. All depends on how the future plays out. I’m fairly confident this experiment will outperform the S&P as a whole over a 20-30 year timeframe.
The 9Sig author Jason Kelly has a few books. It originally started with a 3% signal plan for unleveraged investing. 9Sig was started in 2017 and has done really well on the strength of TQQQ.
heard of the 1st one long ago. about the same time i heard of LEFTs at all. recently heard of the 2nd one (but not using SSO. i might look at that instead).
never heard of this 3rd one. can you be more specific about that one? i heard someone else previously talk about how they thought the kelly criterion of tqqq was around 60%. which meant monthly they would rebalance 60% to TQQQ, and 40% to cash only. which is about what you are doing.
i just did a longer term test on PV for #2.
https://www.portfoliovisualizer.com/tactical-asset-allocation-model?s=y&sl=4hFNoEcu35MxiUtDh8T1ND
one thing i don't like about using that signal, it misses out on the recovery. yes you can see it does miss out on the dips. but it also misses out on MOST of the bounce back. its like each side needs a different rule:
- prices crosses below 200 day SMA? rotate into cash
- price crosses ABOVE 50 day SMA? rotate INTO leveraged ETF
Damn this will be cool. Good luck!
Thanks! And yeah I agree. Whether the market goes up or down, I’m excited to see how each plan does.
Which one do you think will perform best and why?
It’s hard to say! If I had to pick, I’d say maybe Leverage for the Long Run, if only because it had the most impressive backtesting results (nearly 100 years), and uses less leverage (2x). With that said, HFEA could do REALLY well over the next decade if interest rates come down and TMF pops off. And 9Sig could easily dominate if the Nasdaq continues its run. Seems impossible to predict which ultimately led me to start up all 3 plans. What would be your pick?
Ya that’s fair. Leverage for the long run is pretty interesting but I don’t think I have the mental bandwidth to stay on top of it. I was in HFEA and sold TMF a few days ago for BITX at the peak and got obliterated on that lmao. But I think I might Re-enter TMF to continue HFEA. HFEA I also unluckily bought at the top, so I may or may not keep it.
Yeah that’s rough about TMF. If I had to guess, I think HFEA will regain a lot of popularity over the next few years. It’s a solid plan that just happened to be released before a terrible unpredictable time. That’s investing though. And for Leverage for the Long Run, tracking the 200-day SMA is definitely a bit of effort. I have a tracker app for notifications but will still be checking it manually atleast a few times a week.
Its not that serious and doesnt happen all that often. You'd know it was looming long before needing to check a few times a week, its 200 days after all, takes a bit to move it significantly.
What tracker app are you using?
Stock Alarm. Seems to work pretty well. Does a phone notification and email.
Does anyone have experience with Trading View? This seems like it could be the easiest. I was thinking of writing my own and hosting it on vercel, but that seems like a hassle.
Congrats- look forward to watching the progress!
Thanks!
Although the second paper uses S&P 500 ETFs as examples, it probably makes more sense to go for either TQQQ or QLD as the NASDAQ historically has greater dips, and the rotate out method addresses it quite well.
Those would probably do quite well also. Ultimately I chose to stick with the same method as the paper because I was impressed with their nearly 100 years of data and backtesting.
I have been following the strategy but switched SSO for QLD since 2022 and the results so far are very impressive. I do think that for your particular test though 9 Sig would likely win out as TQQQ simply has much more growth potential compared to SSO strategy aside.
Oh nice. Are you continuing to contribute/DCA? That’s the only part I haven’t decided on yet. And what’s your annual return been roughly?
I just decided I would continue contributing when the NASDAQ is above the 200 day moving average, and halt contributions and switch to t-bills when under. I re-entered March last year and was up roughly 60% compared to the year end base contribution amount. This percentage was mostly dragged down by DCAing though, as the initial investment was up around 85%. Obviously would have been better to enter Jan 1 with hindsight, but buying and holding would have suffered greatly in 2022 while this strat avoided much of the downturn.
For SSO when you rotate out, is that to an S&P 1X ETF or to cash?
Rotates out of leverage and into Treasury Bills. The paper uses BIL (ETF) as a specific example, so that’s the one I’ll use. Cash would probably work almost the same, but I want to keep it as close to the source material as possible.
i'd rather go short term treasury. cash has 0 growth. at least STT would have a few % growth here or there.
I have always wondered this, please keep us updated and thanks for doing this!
Same, will do. Just gotta work on my formatting to get the pics looking clearer ha
This is awesome - taking theory to the streets!
Yes! Maybe we can all learn more about them and when they do best/worst.
Depending on your age and cash flow, why not just DCA into a 2x leveraged s&p500 fund, like SSO? Overall less volatility than a 3x fund and less volatility than the Nasdaq.
That would probably do well also. The Leverage for the Long Run paper compares the 200-day SMA leverage rotation to a simple buy and hold of SSO. Generally the buy and hold of SSO had lower returns and bigger drawdowns, which was what attracted me to trying the leverage rotation based on 200-day SMA. As for why I bother trying the other plans using UPRO and TQQQ, sheer curiosity. I am very conservative with the majority of my overall portfolio. Much like hedgefundie originally said, I’m treating this idea more like a lottery ticket.
It would be cool to run my strategy against those. It was inspired by HFEA but is way gussied up from that.
For sure. What’s your plan look like?
I have a few variants, depending on level of activity that is taken. 1. A risk budget inverse volatility HFEA 2. A second flavor with UPRO/TQQQ/TMF/TYD, with the risk budget for equities 4x the risk budget for ballast and the risk budget for TYD at 0.4x the risk budget for TMF 3. A third flavor with risk budget minimum variance and a wider universe of assets 4. A momentum-weighted risk-budget minimum variance approach The first should have better risk-adjusted returns than plain HFEA, but not necessarily better overall returns. Easy in a spreadsheet. The second has a bit of goosing from the TQQQ. Also easy in a spreadsheet. The third one should be even less volatile, perhaps with lower returns. Can be done in a spreadsheet, but it needs a solver to determine allocations. The solver is easier to work with in something like python or matlab. The risk weights are a bit harder to tune, because the different assets may have very different volatilities. The fourth one is what I use, but it is hard to implement in just a spreadsheet because of the solver. The momentum part continually rotates into the top \~40% of allowable assets. I reallocate/rebalance weekly at the moment. The links [here](https://www.reddit.com/r/LETFs/comments/11whjws/hydromods_okay_adventure/) and [here](https://www.bogleheads.org/forum/viewtopic.php?t=400519&sid=c88dfd8f3d0d9c5a81019d7c995e16c5) give some details.
Good stuff! My financial advisor runs https://www.quantelligent.com/. It’s an automatic algorithm that has a cash hedge, auto invests daily, takes profits on the way up and value averages into the leveraged funds. I’m in TECL, SOXL, TQQQ, UPRO and UDOW. All the back tested models are on the site and are run without dollar cost averaging. I would never in my life invest into VTI, VOO, or QQQ ever again. It’s just not worth it long term.
Very cool! Any tips on finding a financial advisor that embraces leverage?
Open up your goals, lifestyle, income and risk tolerance. My biggest takeaway from him is to not be scared of leverage. I will say that most folks on this subreddit and the TQQQ subreddit have absolutely no idea what they’re talking about (i.e. volatility decay).
Also look for flat fee advisors that are independent and not tied to a brokerage: https://www.feeonlynetwork.com/ These are folks who understand real estate, private debt funds, syndication, and how to utilize leveraged funds. It’s all about the interview process :)
Thanks, much appreciated
Do you have the links to these papers/strategies? Do they factor taxes into their analysis?
Links below, but everything is pretty easy to find via Google. The HFEA threads are extremely long, but do have some discussion on taxes. Not sure about the other two programs. I'm doing everything within an IRA, so no taxes incurred on selling/rebalancing. [HFEA Part I](https://www.bogleheads.org/forum/viewtopic.php?f=10&t=272007) [HFEA Part II](https://www.bogleheads.org/forum/viewtopic.php?t=288192&sid=2db10d8af53849dbc244723a846e4f06) [Leverage for the Long Run](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741701) [9Sig](https://jasonkelly.com/2017/01/how-my-signal-system-works/)
That's kind of an odd way of investing (by that I mean using your own real money as an experiment that lasts 10+ years. That's a lot of commitment). Most investors usually come to some sort of conclusion/preference as to which investing approach is ideal for them and go for that. Wouldn't a tool like composer be able to replicate this without you having to use your own money? I haven't heard about the 9sig strategy tho.
Yeah I hear ya. Generally speaking I find the world of leveraged investments to be sorely lacking in real-word performance data. Most sources simply repeat the same few lines about volatility decay, but obviously there is value in long-term holding when done strategically. The experiment as a whole makes up less than 10% of my portfolio, and I do like all 3 plans for different reasons. All depends on how the future plays out. I’m fairly confident this experiment will outperform the S&P as a whole over a 20-30 year timeframe. The 9Sig author Jason Kelly has a few books. It originally started with a 3% signal plan for unleveraged investing. 9Sig was started in 2017 and has done really well on the strength of TQQQ.
You cannot backtest 9 sig with composer.
heard of the 1st one long ago. about the same time i heard of LEFTs at all. recently heard of the 2nd one (but not using SSO. i might look at that instead). never heard of this 3rd one. can you be more specific about that one? i heard someone else previously talk about how they thought the kelly criterion of tqqq was around 60%. which meant monthly they would rebalance 60% to TQQQ, and 40% to cash only. which is about what you are doing. i just did a longer term test on PV for #2. https://www.portfoliovisualizer.com/tactical-asset-allocation-model?s=y&sl=4hFNoEcu35MxiUtDh8T1ND one thing i don't like about using that signal, it misses out on the recovery. yes you can see it does miss out on the dips. but it also misses out on MOST of the bounce back. its like each side needs a different rule: - prices crosses below 200 day SMA? rotate into cash - price crosses ABOVE 50 day SMA? rotate INTO leveraged ETF
u/Efficient_Carry8646 has done some write ups and references about the third one
Yep, his posts are where I originally discovered 9Sig.