u/manlymatt83

Let's say you have a solid portfolio that steps in and out of equities reliably, but indicators lag. You'll eventually switch in and out of equities, but it won't always be instantaneous.

Historically speaking, what is the allocation you can have at any given time that protects you from a quick drawdown? Is it gold or treasuries, or both?

Managed Futures seems to lag, right? A good allocation to have for trend, but not a quick drawdown in equities.

Appreciate any insight.

Spent the day backtesting variants of this and landed here:

- 80% leveraged Keller momentum (HAA 2x 56%, VAA 1.5x 24%)

- 10% RSST static

- 10% gold/SCV/treasuries with varying weights (see below)

40yr backtest says 20.2% CAGR with a -19% max DD, but the last decade was 13.3%, which matches the index with half the drawdown.

I tested a bunch of variants (KMLM instead of RSST, dropping the gold, trend filters, etc.) and this seemed to be the most fitting for me.

Some period CAGRs with max DD:

Period	CAGR	Max DD (monthly)	Benchmark CAGR	Benchmark Max DD
1986–2026 (full)	20.2%	-19.1%	11.1%	-46.7%
1995–1999	35.9%	-9.6%	28.4%	-15.4%
2000–2009	21.0%	-19.1%	-0.9%	-46.7%
2015–2025	13.3%	-10.6%	13.5%	-23.9%

Here was my thought process:

• Started with 100% HAA 2x. Honestly the best CAGR of anything I tested (26.6%) and the best Sharpe too, but -26% monthly / -36% daily drawdowns on a single model felt like too much concentration to me, even if it backtests well (overfitting anyone?)
• Added VAA (70/30) because it's a second momentum model that de-risks earlier than HAA, so my hope is the two don't flip at the same time. Cut the drawdown meaningfully for a modest CAGR cost. I worry about whipsawing here but it's a much smaller allocation than the HAA.
• Wanted managed futures in the mix. First tried it as tactical allocation (HAA-Simple RSST) due to this post by u/laurenthu. It backtested fine, but I got nervous I'd get rotated out of MF right before a crash, which is exactly when I would need it the most. Static allocation seemed to make more sense to me.
• Chose RSST over KMLM because it stacks MF on top of equity. Same trend exposure, ~2pp more CAGR at basically identical drawdowns. I also felt like maybe having some equity "always on" in case the signals in HAA / VAA flip too early could be helpful.
• I experimented with other diversifiers... gold via GDE (stacked on equity, rejected, it just crashes with everything else first), SmartStack overlays such as VAA + Gold/MF (rejected, the gold/MF exposure was conditional on signals again), and landed on a simple risk-parity sleeve: gold + small cap value + intermediate treasuries, inverse-vol weighted, no trend filter so I always hold at least a little bit of gold.
  • I did test the filtered version too (200d SMA on the sleeve). It added ~0.1-0.2pp over 40 years, basically noise, and in exchange my gold could be absent right when its regime arrives. I think in this case I wanted the guarantee of always having some gold (though I wonder if the max ~4-5% allocation is too small to matter).
• Stress-tested the final mix across various date ranges: 35.9% in the 95-99 melt-up, 21% through the 2000s lost decade, 13.3% in 2015-2025. Different sleeve carried each decade, and a different sleeve bled in each one.

Honestly, my original gut portfolio was essentially a modified version of the SSO/ZROZ/GLDM/KMLM portfolio... 60-70% HAA/VAA (on/off equity with a canary) and then always on hedges like KMLM, ZROZ and GLDM. I do sometimes wish I could simplify back to something like that, and I may, but the drawdowns on those hedges are high without some rules around them. And I tested the GLDM/KMLM/ZROZ version and it cost ~2pp of CAGR for basically the same drawdown.

I do like that I'm getting KMLM for free with RSST. I'm hesitant to have a permanent duration (ZROZ for example) allocation with how 2022 went, but the RP Gold + SCV can hold some gold and duration as needed.

I am pretty confident in having at least a 60-70% HAA/VAA allocation. It backtests well, I understand it. I am open to making changes to the 10% RSST and the 10% RP Gold + SCV allocation if others have some ideas.

Thank you for reading this and any help.

We've all seen the portfolios here:

• 40% UPRO / 20% something else / 20% KMLM
• 50% SSO / 50% KMLM
• 100% RSST
• etc.

In these cases, managed futures in theory acts as ballast, right? When your equity drops (not if), managed futures will hopefully be there to save the day.

But what about as a static allocation to an otherwise more actively managed portfolio? Take something like HAA for example. This portfolio uses a single "canary" asset for crash protection. The canary turns "bad" (shows non-positive momentum) when yields and/or inflation are rising, and combines that signal with traditional dual momentum on the offensive universe, where any underperforming top-ranked assets get replaced with cash.

Given this is a tactical strategy, it is designed to operate on its own. However, the "ballast" is conditional. It may fail, but in theory, it has built-in protection that should hopefully get you out of equities at the right time and manage drawdowns.

But what if you take a 100% HAA portfolio, and simply add a small sliver of managed futures to it in a static allocation? Even though managed futures are hard to reliably backtest, backtests for strategies like HAA could also differ significantly moving forward if the canaries are off by even a few weeks. I wonder if it's a static "insurance policy" worth having.

I am super happy with my core portfolio. It’s not even worth going into here, but it’s near 100% of my net worth and has overlaps between bogleheads, r/LETFS strategies, and bestfolio allocations I’ve learned about over the last few weeks. Monthly notifications, set and forget.

However, I’d like to have a “side bet” account to run a high risk strategy that likely will go to $0 but has a real chance at generating wealth.

In reviewing options here, I see I can do:

- 9sig, by the book

- 200 SMA moving average of +4/-3% on UPRO or TQQQ

- buy and hold SSO or QLD

- buy and hold a returned stacked ETF like GDE or RSST

My rules for this side bet:

- I mostly don’t want to have to look at it. Alerts a few times per year or rebalancing quarterly (9sig) are fine.

- I plan on putting $50k into this strategy. $25k initially and then can average in the remaining $25k over time.

- If the account triples, I will take out my original $50k but leave the rest.

- can do this in a tax advantaged account if that matters

I am leaning towards either TQQQ +4/-3 or 9sig. Both feel like high-risk high-reward to me.

Appreciate any advice or insight.

My core portfolio of recent has been 40% UPRO / 20% GOVZ / 20% GLDM / 20% CTA. In using bestfolio the last few weeks, I've been able to see that I can get a higher CAGR with lower drawdowns by using other, dynamic strategies. For instance, my favorite so far... the Simple RSST HAA strategy. HAA but with the Leveraged 2x or the SmartLeverage 1.5x is also great... 21-26% CAGR with drawdowns around -30% (Is this too much...? Maybe I'm de-sensitized).

I'm a bit overwhelmed with all of the different possibilities for additional sleeves, but a few I've come to love:

• VAA-G4 - SmartLeverage 1.5x or one or two of the other variants. I like this as it can go defensive.
• Carlson's Defense First ... seems to smooth out the ride when compared to the S&P 500.
• BAA (Bold Asset Allocation)... again, seems to really smooth out the ride when paired with a more aggressive strategy, but I'm not quite sure whether I'd tack on the balanced or aggressive variant.

Any others I'm missing worth looking at?

Honestly, I'm considering dumping my UPRO/GOVZ/GLDM/CTA (or similar SSO/ZROZ/GLD) strategy and pairing an HAA strategy with a handful of more defensive strategies to target 20%+ CAGR with lower drawdowns. Am I just dreaming here or is there a combination that might get me there?

Hi all. My wife has been having a really stressful few weeks and I'm thinking of a getaway for a few nights. I've only been to Asbury Park once and remember really liking it. Just curious, does the beach / boardwalk area tend to be quieter than other areas of the Jersey Shore? What can one expect? We're pretty quiet / low key people and I think she'd just be looking for a place to relax and clear her head for a few days.

I used to live on the shore in Atlantic County and can relate to how you all may feel about out-of-towners but I really appreciate any insight people can provide. Promise to support local businesses!

I honestly feel like this will sell off more no matter what earnings are. Any thoughts?

It’s the only managed futures fund I hold. Those people saying to hold multiple funds were right and I’ll probably look into that.

Anyone else holding CTA?

I've been playing with bestfolio and one thing I've noticed is:

• It defines a list of strategies, each with its own CAGR / DD, with variants.
• You can create portfolios, which blend different strategies together.

In talking with Claude this morning, the idea is that if you blend a 20% CAGR strategy with another 20% CAGR strategy, you'll increase your chances that drawdowns remain similar to the estimates in each strategy, but you'll reduce your CAGR. For example, maybe only get 16-17% instead of the 20% CAGR each strategy on its own would provide.

I'm curious if Claude is correct here, and if so, does it ever make sense to run one, lower-risk strategy in isolation? Or should you still stack strategies? And if you do, should they always be 100% unrelated (as in, never using the same tickers or similar tickers) or can you, for example, run a 200 day SMA strategy blended with a static allocation strategy even if some tickers overlap?

And when choosing multiple strategies, does it make sense to treat them as two separate portfolios (portfolio 1: smaller account, higher risk strategy and portfolio 2: larger account, lower risk strategy) or blend them into a single portfolio and just keep assets optimized (treasuries in an IRA for example)?

Appreciate any advice!

For those trading on 200 SMA in a taxable, etc... curious. In your experience, does the 1099 from the broker fully adjust for wash sales?

For example, assuming TQQQ:

• Bought 100 shares of TQQQ at $100/share
• Sold 100 shares of TQQQ at $90/share (-$1000 short term loss)
• Bought 100 shares of TQQQ at $80/share (-$1000 short term loss adjusted, cost basis $90/share)
• Sold 100 shares of TQQQ at $100/share ($1000 gain)

Would the 1099 correctly show $1000 in short term capital gains, assuming no trading had been done after ~November 30th? Or will that have to be adjusted manually?

I always assumed the brokers adjust the cost basis behind the scenes, so it all works out in the end. But just curious. I always see "Wash Sale Disallowed" as an amount and it doesn't seem to change, but I assume that's "Wash sales that eventually became part of another trade's cost basis".

Just curious. Pretty big drop. The underlying index didn’t move much.

Ex-Dividend?

For those using SMA strategies, what are you using to track when it’s above/below, especially if there are rules to it? (Like +4/-3)

Numbers are:

- Total: 209 mg/dL
- Trigs: 127 mg/dL
- HDL: 52 mg/dL
- VLDL: 23 mg/dL
- LDL: 134 mg/dL
- LP(A): 105.8 nmo/L
- 0 CAC score

Doctor advised lifestyle changes. Giving that some time before considering meds. Doing great in that department actually and have been losing weight!

But I am struggling with sat fat.

For example, breakfast this morning:

- blueberry bagel
- very very thin layer of cream cheese. I could barely see it
- smoked salmon
- onions & capers
- handful of almonds

App tells me I’m already at 4g sat fat.

I’m trying to stay under 10g for maximum LDL lowering benefit but man is it hard.

42/m. 275 pounds and dropping. So my target calorie intake is like 2500.

Appreciate any ideas!

Pick one?

I realize most are allergic to TMF but I still believe in the distant future (10+ years) it will protect at the time when TQQQ is -99%.

I don't really want a 200 SMA strategy. I don't trust myself to sell or re-buy without trying to time.

I don't want 100% TQQQ because this is an old Roth account I'll never contribute to again, so a -99% drawdown would be painful as I'd never be able to add more to it (though I guess I could buy more in a different account.... but not a Roth).

Specifically for buy and hold investors. What’s your system? I realize it’s a bit of a false question but some answers could be:

50/50 TQQQ/QLD to maintain 2.5x leverage forever

Or

Only new contributions when down 10%

Or

Only 100% QLD

I don’t like 200SMA and to be honest, 9sig feels like too much work (plus the max drawdown of -99%)

Anyone have a plan that works for them?

I’m ashamed to admit my numbers were pretty high two years ago and I didn’t do much of anything. I tried but failed. 42/m. Was 39 then. 270 pounds (trying to lose weight).

My trigs and HDL were fine but my LDL was like 132.

A few weeks back my doctor ordered cholesterol on me as it hadn’t been tested in a few years. I decided that day I was going to make major changes. Haven’t gone to get the test done yet… 😬

Since then I’ve been:

- keeping a food diary

- psyllium husk every day… getting myself 40g of fiber+

- sat fat under 10 each day (man this is hard but I cut out cheese)

- daily multi vitamin and Coq10

- lots of veggies

- at least one bowl of oatmeal per day

- high protein diet (this is mostly for weight loss but figured I’d throw it in)

I’ve always worked out so that isn’t an issue. I run/hike/lift weights.

I had a 0 CAC score in 2020 and a normal echocardiogram in 2025 (I realize the latter isn’t really helpful at all for cholesterol). I should probably do the CAC again and I will some point soon.

My question is.. how long should I wait to see if these recent changes have made any difference? It’s been 3 weeks.

I stuck my finger up the side of my upper right jaw (like between my second to last tooth and as far as I can go up against my gum before it stops) and there’s like this really pointy bone thingy?

But on the left side it’s there but much less pronounced?

What is that and is it normal?

• 100% NTSD

• 100% WLDU

• 50% RSST + 50% RSIT rebalanced with new contributions only

Curious. Anyone doing one of these?