3x leveraged QQQ with the addition of a 200 Day SMA tactical signal. When ^NDX > 200 Day SMA = hold ^NDXL=3 (3x leveraged QQQ), when ^NDX < 200 Day SMA = hold "Risk Off" Allocation
Since: 1991-10-28
| Metric | Portfolio | Benchmark |
|---|---|---|
| Ending Value | $4,919,174 | $182,945 |
| Total Contributions | $0 | $0 |
| Cumulative Return | 49091.74% | 1729.45% |
| CAGR | 19.72% | 8.81% |
| Volatility | 55.52% | 18.17% |
| Max Drawdown | -95.30% | -56.78% |
| Sharpe Ratio | 0.560 | 0.418 |
| Lo-Adjusted Sharpe Ratio | 0.575 | 0.506 |
| Deflated Sharpe Ratio | 62.27% | 30.65% |
| Minimum Track Record (> 0) | 8.74 years | 15.57 years |
| Minimum Track Record (vs Benchmark) | 135.82 years | — |
| Best Factor Model Alpha (annualized) | 13.04% | -2.55% |
| Best Factor Model Alpha t-statistic | 1.921 | -13.066 |
| Bootstrap Probability Sharpe > Benchmark | 86.33% | — |
| Scenario | Period | Type | Portfolio | Benchmark | S&P 500 | Nasdaq |
|---|---|---|---|---|---|---|
| Great Depression | Sep 1929 – Jun 1932 | Synthetic | -146.9% | -86.2% | -86.2% | -107.2% |
| 1937 Fed Tightening | Mar 1937 – Mar 1938 | Synthetic | -92.9% | -54.5% | -54.5% | -67.8% |
| Post World War II Crash | May 1946 – Jun 1949 | Synthetic | -50.4% | -29.6% | -29.6% | -36.8% |
| Eisenhower Recession | Jul 1957 – Oct 1957 | Synthetic | -35.3% | -20.7% | -20.7% | -25.7% |
| Flash Crash of 1962 / Cold War | Dec 1961 – Jun 1962 | Synthetic | -47.7% | -28.0% | -28.0% | -34.8% |
| Tech Crash of 1970 | Nov 1968 – May 1970 | Synthetic | -60.3% | -35.4% | -35.4% | -44.0% |
| Stagflation | Jan 1973 – Oct 1974 | Synthetic | -82.2% | -48.2% | -48.2% | -59.9% |
| Volcker Tightening | Nov 1980 – Aug 1982 | Synthetic | -46.2% | -27.1% | -27.1% | -33.7% |
| Crash of 1987 | Aug 1987 – Dec 1987 | Synthetic | -57.1% | -33.5% | -33.5% | -39.9% |
| 2000 Tech Bubble | Mar 2000 – Oct 2002 | Actual | -92.1% | -49.1% | -49.1% | -82.8% |
| 2008 Financial Crisis | Oct 2007 – Mar 2009 | Actual | -57.8% | -56.8% | -56.8% | -51.9% |
| 2020 COVID Crash | Feb 19 – Mar 23, 2020 | Actual | -57.2% | -33.9% | -33.9% | -27.9% |
| 2022 Inflation / Fed Tightening | Jan 2022 – Oct 2022 | Actual | -48.5% | -25.4% | -25.4% | -34.6% |
| Date | Event | Allocation | ||
|---|---|---|---|---|
| 2026-03-23 | Risk-Off |
| ||
| 2025-05-13 | Risk-On |
| ||
| 2025-03-07 | Risk-Off |
| ||
| 2023-03-14 | Risk-On |
| ||
| 2023-03-13 | Risk-Off |
| ||
| 2023-02-01 | Risk-On |
| ||
| 2023-01-31 | Risk-Off |
| ||
| 2023-01-27 | Risk-On |
| ||
| 2022-04-06 | Risk-Off |
| ||
| 2022-04-05 | Risk-On |
| ||
| 2022-03-31 | Risk-Off |
| ||
| 2022-03-30 | Risk-On |
| ||
| 2022-02-11 | Risk-Off |
| ||
| 2022-02-10 | Risk-On |
| ||
| 2022-02-04 | Risk-Off |
| ||
| 2022-02-03 | Risk-On |
| ||
| 2022-01-21 | Risk-Off |
| ||
| 2020-04-09 | Risk-On |
| ||
| 2020-03-12 | Risk-Off |
| ||
| 2020-03-11 | Risk-On |
| ||
| 2020-03-10 | Risk-Off |
| ||
| 2019-06-05 | Risk-On |
| ||
| 2019-06-03 | Risk-Off |
| ||
| 2019-03-12 | Risk-On |
| ||
| 2019-03-08 | Risk-Off |
| ||
| 2019-02-25 | Risk-On |
| ||
| 2019-02-22 | Risk-Off |
| ||
| 2019-02-19 | Risk-On |
| ||
| 2018-11-12 | Risk-Off |
| ||
| 2018-11-08 | Risk-On |
| ||
| 2018-11-05 | Risk-Off |
| ||
| 2018-11-02 | Risk-On |
| ||
| 2018-10-25 | Risk-Off |
| ||
| 2018-10-15 | Risk-On |
| ||
| 2018-10-12 | Risk-Off |
| ||
| 2016-07-07 | Risk-On |
| ||
| 2016-07-06 | Risk-Off |
| ||
| 2016-07-01 | Risk-On |
| ||
| 2016-06-27 | Risk-Off |
| ||
| 2016-06-24 | Risk-On |
| ||
| 2016-06-23 | Risk-Off |
| ||
| 2016-06-22 | Risk-On |
| ||
| 2016-06-20 | Risk-Off |
| ||
| 2016-06-17 | Risk-On |
| ||
| 2016-06-16 | Risk-Off |
| ||
| 2016-05-25 | Risk-On |
| ||
| 2016-04-28 | Risk-Off |
| ||
| 2016-03-30 | Risk-On |
| ||
| 2016-03-24 | Risk-Off |
| ||
| 2016-03-22 | Risk-On |
| ||
| 2016-01-07 | Risk-Off |
| ||
| 2015-10-16 | Risk-On |
| ||
| 2015-08-24 | Risk-Off |
| ||
| 2014-10-20 | Risk-On |
| ||
| 2014-10-17 | Risk-Off |
| ||
| 2013-01-03 | Risk-On |
| ||
| 2012-12-24 | Risk-Off |
| ||
| 2012-12-19 | Risk-On |
| ||
| 2012-12-14 | Risk-Off |
| ||
| 2012-12-12 | Risk-On |
| ||
| 2012-12-05 | Risk-Off |
| ||
| 2012-11-30 | Risk-On |
| ||
| 2012-11-08 | Risk-Off |
| ||
| 2012-11-06 | Risk-On |
| ||
| 2012-11-05 | Risk-Off |
| ||
| 2012-11-02 | Risk-On |
| ||
| 2012-11-01 | Risk-Off |
| ||
| 2012-01-04 | Risk-On |
| ||
| 2011-12-29 | Risk-Off |
| ||
| 2011-12-27 | Risk-On |
| ||
| 2011-12-14 | Risk-Off |
| ||
| 2011-12-12 | Risk-On |
| ||
| 2011-12-09 | Risk-Off |
| ||
| 2011-12-01 | Risk-On |
| ||
| 2011-11-18 | Risk-Off |
| ||
| 2011-10-12 | Risk-On |
| ||
| 2011-09-22 | Risk-Off |
| ||
| 2011-09-19 | Risk-On |
| ||
| 2011-08-05 | Risk-Off |
| ||
| 2011-06-28 | Risk-On |
| ||
| 2011-06-27 | Risk-Off |
| ||
| 2011-06-22 | Risk-On |
| ||
| 2011-06-16 | Risk-Off |
| ||
| 2010-09-09 | Risk-On |
| ||
| 2010-09-08 | Risk-Off |
| ||
| 2010-09-07 | Risk-On |
| ||
| 2010-08-12 | Risk-Off |
| ||
| 2010-07-23 | Risk-On |
| ||
| 2010-07-19 | Risk-Off |
| ||
| 2010-07-14 | Risk-On |
| ||
| 2010-06-29 | Risk-Off |
| ||
| 2010-06-11 | Risk-On |
| ||
| 2010-06-08 | Risk-Off |
| ||
| 2010-05-28 | Risk-On |
| ||
| 2010-05-27 | Risk-Off |
| ||
| 2010-05-24 | Risk-On |
| ||
| 2010-05-21 | Risk-Off |
| ||
| 2009-05-19 | Risk-On |
| ||
| 2009-05-14 | Risk-Off |
| ||
| 2009-05-01 | Risk-On |
| ||
| 2008-09-02 | Risk-Off |
| ||
| 2008-08-29 | Risk-On |
| ||
| 2008-08-26 | Risk-Off |
| ||
| 2008-08-25 | Risk-On |
| ||
| 2008-08-22 | Risk-Off |
| ||
| 2008-08-21 | Risk-On |
| ||
| 2008-08-20 | Risk-Off |
| ||
| 2008-08-11 | Risk-On |
| ||
| 2008-06-23 | Risk-Off |
| ||
| 2008-06-20 | Risk-On |
| ||
| 2008-06-19 | Risk-Off |
| ||
| 2008-06-16 | Risk-On |
| ||
| 2008-06-12 | Risk-Off |
| ||
| 2008-05-23 | Risk-On |
| ||
| 2008-05-22 | Risk-Off |
| ||
| 2008-05-09 | Risk-On |
| ||
| 2008-05-08 | Risk-Off |
| ||
| 2008-05-02 | Risk-On |
| ||
| 2008-01-07 | Risk-Off |
| ||
| 2006-09-26 | Risk-On |
| ||
| 2006-09-25 | Risk-Off |
| ||
| 2006-09-21 | Risk-On |
| ||
| 2006-09-20 | Risk-Off |
| ||
| 2006-09-18 | Risk-On |
| ||
| 2006-05-15 | Risk-Off |
| ||
| 2005-10-14 | Risk-On |
| ||
| 2005-10-13 | Risk-Off |
| ||
| 2005-07-11 | Risk-On |
| ||
| 2005-06-27 | Risk-Off |
| ||
| 2005-05-18 | Risk-On |
| ||
| 2005-04-14 | Risk-Off |
| ||
| 2005-04-13 | Risk-On |
| ||
| 2005-04-12 | Risk-Off |
| ||
| 2005-04-08 | Risk-On |
| ||
| 2005-04-07 | Risk-Off |
| ||
| 2005-04-06 | Risk-On |
| ||
| 2005-04-01 | Risk-Off |
| ||
| 2005-03-31 | Risk-On |
| ||
| 2005-03-23 | Risk-Off |
| ||
| 2004-10-27 | Risk-On |
| ||
| 2004-10-25 | Risk-Off |
| ||
| 2004-10-19 | Risk-On |
| ||
| 2004-10-11 | Risk-Off |
| ||
| 2004-10-04 | Risk-On |
| ||
| 2004-07-09 | Risk-Off |
| ||
| 2004-05-26 | Risk-On |
| ||
| 2004-05-17 | Risk-Off |
| ||
| 2004-05-14 | Risk-On |
| ||
| 2004-05-13 | Risk-Off |
| ||
| 2004-05-12 | Risk-On |
| ||
| 2004-05-10 | Risk-Off |
| ||
| 2004-05-04 | Risk-On |
| ||
| 2004-05-03 | Risk-Off |
| ||
| 2004-03-25 | Risk-On |
| ||
| 2004-03-24 | Risk-Off |
| ||
| 2003-03-14 | Risk-On |
| ||
| 2003-01-21 | Risk-Off |
| ||
| 2003-01-10 | Risk-On |
| ||
| 2003-01-09 | Risk-Off |
| ||
| 2003-01-08 | Risk-On |
| ||
| 2002-12-04 | Risk-Off |
| ||
| 2002-12-03 | Risk-On |
| ||
| 2002-12-02 | Risk-Off |
| ||
| 2002-11-29 | Risk-On |
| ||
| 2002-11-27 | Risk-Off |
| ||
| 2002-11-26 | Risk-On |
| ||
| 2002-01-15 | Risk-Off |
| ||
| 2002-01-04 | Risk-On |
| ||
| 2002-01-02 | Risk-Off |
| ||
| 2001-12-31 | Risk-On |
| ||
| 2001-12-21 | Risk-Off |
| ||
| 2001-12-18 | Risk-On |
| ||
| 2001-12-14 | Risk-Off |
| ||
| 2001-12-06 | Risk-On |
| ||
| 2000-09-22 | Risk-Off |
| ||
| 2000-09-21 | Risk-On |
| ||
| 2000-09-12 | Risk-Off |
| ||
| 2000-08-15 | Risk-On |
| ||
| 2000-08-11 | Risk-Off |
| ||
| 2000-08-08 | Risk-On |
| ||
| 2000-08-02 | Risk-Off |
| ||
| 2000-08-01 | Risk-On |
| ||
| 2000-07-31 | Risk-Off |
| ||
| 2000-06-02 | Risk-On |
| ||
| 2000-06-01 | Risk-Off |
| ||
| 2000-05-31 | Risk-On |
| ||
| 2000-05-22 | Risk-Off |
| ||
| 2000-05-12 | Risk-On |
| ||
| 2000-05-11 | Risk-Off |
| ||
| 1998-10-15 | Risk-On |
| ||
| 1998-10-14 | Risk-Off |
| ||
| 1998-10-13 | Risk-On |
| ||
| 1998-10-06 | Risk-Off |
| ||
| 1998-09-02 | Risk-On |
| ||
| 1998-09-01 | Risk-Off |
| ||
| 1998-01-28 | Risk-On |
| ||
| 1998-01-27 | Risk-Off |
| ||
| 1998-01-21 | Risk-On |
| ||
| 1998-01-07 | Risk-Off |
| ||
| 1998-01-05 | Risk-On |
| ||
| 1997-12-15 | Risk-Off |
| ||
| 1997-11-14 | Risk-On |
| ||
| 1997-11-13 | Risk-Off |
| ||
| 1996-07-26 | Risk-On |
| ||
| 1996-07-24 | Risk-Off |
| ||
| 1996-07-18 | Risk-On |
| ||
| 1996-07-16 | Risk-Off |
| ||
| 1996-01-19 | Risk-On |
| ||
| 1996-01-16 | Risk-Off |
| ||
| 1996-01-12 | Risk-On |
| ||
| 1996-01-10 | Risk-Off |
| ||
| 1994-10-10 | Risk-On |
| ||
| 1994-10-07 | Risk-Off |
| ||
| 1994-10-06 | Risk-On |
| ||
| 1994-10-05 | Risk-Off |
| ||
| 1994-08-24 | Risk-On |
| ||
| 1994-08-19 | Risk-Off |
| ||
| 1994-08-18 | Risk-On |
| ||
| 1994-04-11 | Risk-Off |
| ||
| 1994-04-06 | Risk-On |
| ||
| 1994-03-30 | Risk-Off |
| ||
| 1993-08-03 | Risk-On |
| ||
| 1993-08-02 | Risk-Off |
| ||
| 1993-07-29 | Risk-On |
| ||
| 1993-07-28 | Risk-Off |
| ||
| 1993-07-27 | Risk-On |
| ||
| 1993-07-22 | Risk-Off |
| ||
| 1993-07-21 | Risk-On |
| ||
| 1993-07-19 | Risk-Off |
| ||
| 1993-04-29 | Risk-On |
| ||
| 1993-04-26 | Risk-Off |
| ||
| 1992-10-20 | Risk-On |
| ||
| 1992-09-23 | Risk-Off |
| ||
| 1992-09-15 | Risk-On |
| ||
| 1991-10-29 | Risk-Off |
| ||
| 1991-10-28 | Initial |
|