r/LETFs

After looking at the etf performance. I am thinking about having a position in TQQQ and SOXL when both are above their 50 sma. And selling on end of week of the cross below the 50 sma, and also being in above the 200 sma as a guard rail. Any one have any thoughts on this (good and bad welcomed)?

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:

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’ve been going back and forth with AI over the past few days trying to develop plan to play around with leveraged ETFs. I already follow Sig 9, in my Roth IRA I just started last year so it’s relatively small amount. In a portion of my 401k I wanted to use another strategy. Starting with a small amount of $1800 and DCA $900 every 2 weeks for the next few years, I wanted to use the following set up. Use the 200 dma of both QQQ and SMH as the on/off signal, if both above 200 dma green light, if either are below then red light. If green light, I would then compare the 90D return average of SOXL and TQQQ, and buy 100% into whichever one has the highest returns over the last 90 trading days. When light turns red, put 100% of the funds into SGOV.

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.

Running half Kelly now is a 1.0 Sharpe and only it's using like 30% my bp. Moving to slowly for my likey. Why should I not just go 3/4 Kelly. Im not a head fund manager, my own money and I need it for retirement but I do have ballast

Hello,

I am a Canadian investor who has been interested in leveraged portfolios for some time, and I would like to gather some feedback on my current plan. I exclusively use CAD-listed ETFs, as I find it cumbersome to convert currency for my weekly contributions. While I recognize that I am limited in product selection and will likely face higher drag due to fees, I have accepted these trade-offs.

TFSA

I contribute $500 per week, split between two strategies:

Strategy 1 ($250/week): 9Sig using TQQQ.TO, with CBIL.TO as a cash reserve.

Strategy 2 ($250/week): A 60/20/20 allocation of SPXU.TO (2x daily bull S&P 500), XTLT.TO (CAD-listed TLT, we dont have a ZROZ equivalent), and ZGLD.TO (gold).

Both strategies are rebalanced quarterly. My reasoning is that if the first strategy suffers a significant drawdown, the second provides a safer foundation to fall back on.

RRSP

Whenever I have extra cash, I make lump-sum purchases split 50/50 between:

USSL.TO (125% cash-leveraged S&P 500)

QQQL.TO (125% cash-leveraged Nasdaq 100)

I do not DCA into these; I simply buy and hold when funds are available.

My investment horizon is 25 years. I am currently 28, and I will be eligible for a pension at the end of my career. Thank you for your time! Please be honest regarding whether I am on the right track or if I should consider a different approach. While I believe I can handle market drawdowns and crashes, my main concern with relying solely on a fund like TQQQ.TO is the risk of catastrophic loss. I prefer a diversified approach that I can consistently contribute to, even during market downturns.

Cheers.

CanadianInvestor9

Meant to say MSFU*. Leaning towards METU after the drop in price today, nothing crazy not full porting but I just wanna see if this is as easy money as it looks with a few dozen shares or so.

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?

Noob here, in learning process.

I’m bearish on MU this next week due to the SK Hynix debut / other factors, and I’ve got my eye on MUZ (2x bear) for a 4-5 day position maybe starting Monday.

For a couple days of swing, is a trailing stop loss a useful / good idea? I understand flash moves can really screw things up, but generally for a week-or-less move, can a trailing stop loss be helpful?
I just want to protect even humble gains.

What’s been your experience in such a situation?

TQQQ 50k lump sum + $3k monthly DCA sell in 10 years or at 1.5 mill.

What would you do?

Hello all, i havent seen a single post on these 2 tickets, I recently started a position on ISBG because i think gold and btc are at attractive prices, what i like from the strategy is that they are also selling covered calls to collet premium to distribute on a weekly basis, wich takes a way the manual rebalancing as i dont have to manually sell to get some of the returns back to me.

I know its kow AUM, but they have to start somewhere

Dca QLD or dca TQQQ for 15 years.

Edit: thanks everyone. I've decided to go with QLD as it has longer history and 2x is technically safer. I'll just keep adding to it every month if it goes down. If it goes up I'll keep it running for another month.

I was talking to Gemini about negative carry, and it was saying that NTSX has half of the risk of negative carry - it borrows about half less. It would protect against inverted yield. Plus, NTSX’s expense ratio (0.2) is half of RSSB (0.39). However, I am a fan that RSSB is close to VT whilst NTSX is just SPY. It also has 10% more equities which is compelling.

But for a long term horizon, less leverage (1.5x) feels safer than 2x. I want to preserve wealth, I don’t necessarily want to have an aggressive allocation.

Right now I’m 20% GDE but I want to split that in half for NTSX or RSSB. I’m having anxiety about gold as an asset class; it’s nonproductive. What if it stays flat for another 25 years? The bonds feel more “guaranteed” to me.

Which would you choose for a 35 year time horizon? I’m leaning toward NTSX, to have less risk of negative carry, less leverage, and less of an expense ratio.