nice, I also just did a 3xGTAA backtest. I'll wait and see what results you get. I also leveraged synthetically, less complicated, but the results were still very good.
My leverage model:
lev_pct = pct_change * lev - (lev - 1) * (0.035 / 252)
So with a constant refinancing rate and without rolling, TER
The 3.5% ensures a conservative leverage. Most ETFs perform better
My entire backtest was quite sobering. I haven't tested the whole universe though, so if your results are very different I'll do it again
My leverage model:
lev_pct = pct_change * lev - (lev - 1) * (0.035 / 252)
So with a constant refinancing rate and without rolling, TER
The 3.5% ensures a conservative leverage. Most ETFs perform better
My entire backtest was quite sobering. I haven't tested the whole universe though, so if your results are very different I'll do it again
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@SemiGrowth Does this mean that 3xGTAA is not such a great vehicle after all?
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@Cyonix The returns are quite good, yes. But the maximum drawdown is as low as the S&P 500 (50%). Epi has only looked at monthly figures. Also, month end trading has been very lucky. I will do another post on this in the days to come
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•@SemiGrowth super thank you 🫶🏻
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@SemiGrowth Rating monthly on the 15th via Corona works "super".
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•@Jesko That's the thing. I have tested all the possibilities and used the worst time
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•@SemiGrowth Believe it or not, I wrote almost 1:1 of your test for Spytips, so I know the values.
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@SemiGrowth Thank you very much, I'm really looking forward to it. I also think that 3xGTAA is currently seen as a bit more magical than it is, even though I ride it as 2x myself.
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•@Simon_n will also be presenting my GTAA version soon. This also has an average lever 2
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•@Simon_n I think the GTAA is a good concept in itself, but the inclusion of BTC in 2018 distorts the results extremely.
I'm also not entirely comfortable with the 3-fold leverage, which I find a little too tricky to check only monthly.
I'm also not entirely comfortable with the 3-fold leverage, which I find a little too tricky to check only monthly.
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@SemiGrowth I'm really looking forward to it!
How do you solve the problem that the assets lose momentum exactly after the evaluation for the whole month, did you choose a shorter period or a safety net? I'm really curious.
How do you solve the problem that the assets lose momentum exactly after the evaluation for the whole month, did you choose a shorter period or a safety net? I'm really curious.
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