Mind sharing some details about your simulation?@RayKeynes Have you had any other insights since your original post on this?
I created my own simulation of 3x SPX and backtested too. Like you, rather than a buy & hold strategy, I wanted to find some way to reduce the massive drawdowns. Clearly 3x finds a way to dig itself out of the drawdowns over time, but I primarily wanted to reduce the magnitude of the drawdowns to help reduce (not eliminate) the risk of catastrophic loss. Sure there are market circuit breakers, etc., but being out of 3x during those periods would be better than being in 3x from a risk perspective, even if it costs a little upside as the market recovers.
I wanted to keep my strategy as simple as possible, even if it costs a little CAGR, because I don't trust myself to avoid model fitting.
I'm thinking of taking the TQQQ -> Cash approach, like to keep things simple.
Statistics: Posted by solidi — Tue Jul 02, 2024 1:41 am — Replies 191 — Views 43448