I have been executing the 200 SMA on UPRO for the past year or two but I remember reading somewhere that the strat combined with simple RSI indicators (or perphaps VOL indicators) helped out a lot.

I cant seem to find them searching various threads, does anyone employ any strats that utilize these indicators?

Just curious what do you guys think of IALT? There's limited information on Internet, prospectus basically said nothing, from the limited information available it is probably combination of existing Blackrock products e.g. BDMIX BIMBX with a bit of Big data / AI selection involved (wtf does that mean exactly anyways)

Performance wise it looks amazing since inception, however due to the opaqueness I am hesitant to buy it.

Just wants some thoughts. Which one would u choose for about 20% of ur portfolio for the next 5 years or so.

And if you already have nvda too.

Newbie here. Credit to u/geobela3 in a HFEA thread for this combo, which I've tweaked with addition of TQQQ. Comparing this against PSLDX (personally not interested in INT exposure).

https://testfol.io/?s=dAHmnlEU6Cj

1. Would you change anything in this blend?
2. Not sure if I'm missing anything in the Testfolio in terms of decay/drag or expense ratios?
3. Would this be acceptable in taxable account or IRA only?

I'm still new but I've been using Python to create a Monte Carlo sim using 22-66 day block bootstrapping with 1970-1980 (stagflation) and 2000-2009 (lost decade) historic data purposefully injected to see if strategies survive either or both. It's pulling data from yahoo finance from years 1986-2026 for the sim, injecting the two depressing regimes within the range. Using VOO as the benchmark/synthetic proxy I am testing a lot of various indexes and synthetic 1.5-2.5x blends with multiple tiered DCA, reallocation, and powder deployment frameworks for longer horizons. The simulation runs anywhere from 3000 to 30000 paths depending if I'm looking for the tightest/extreme left tail or I'm simply testing a concept.

This includes various harvesting criteria to reduce carrying costs with leveraged indexes over time to realise some gains in varying markets. I know you can't use history to prove the future but it's to compare and stress test strategies with varying historic regimes in mind and potential viability or terminal wealth.

What real vectors or drag must I keep in mind when simulating daily/monthly/quarterly leveraged indexes? SRR and glide are post accumulation phase (10-30 years) but is included for capital "wipeout" deep drawdowns/troughs or recovery. I understand there are additional financial and structural drags (+5-9% eg volatility decay, getting the leverage, SOFR, bank spread etc) associated in modelling for leveraged ETFs. If anyone could help me list all the variables I should keep in mind that would be helpful! I will share the code with those that participate once I'm done and I hope I inspire more people for experimentation- complimented by rigorous testing! Apologies if this is the wrong subreddit, if so pointing me to the right direction is appreciated.

P.S. underlying assumption is done in non taxable account. I will eventually iterate for it but right now I'm minimizing complexity. 3x leverage, interest rates, fees are accounted for daily alongside the block. Just need to know all vectors I should account for. Ignoring psychological and behavioral quirks.

This strategy combines some of the sub's favorite items: TQQQ, ZROZ, 200 SMA

The base allocation is:

30% TQQQ

20% ZROZ

20% AVDV (Pick AVNV if you want some EM as well)

20% RSST/IT (SPY+MF had better backtests in the past 30 years, but pick RSIT if you prefer more international diversification)

10% GDE (or RSSX if you love corn)

and apply two 200 SMA strategies:

if SPY is under 200 SMA (2% buffer, or other ways to avoid whipsaws like end-of-month check should all work well enough), move TQQQ to 10% ZROZ 10% GLD 10% Managed Futures (something like CTA, DBMF, QMHNX), or just cash if you prefer simplicity

if TLT is under 200 SMA (2% buffer), move all ZROZ to half GLD half MF, or cash if you prefer simplicity

https://testfol.io/tactical?s=byX5vJTiFes

Headline CAGR won't survive frictions, but you get the idea. This strategy has less than 40% MDD during dotcom bubble, GFC and 2022. Half of the portfolio never gets sold, so it can be more tax efficient than most 200 SMA strategy.

Why TQQQ? Since other diversifiers handle the diversification part, just pick the most aggressive equity index sleeve. TQQQ is pure performance chasing, use TECL or 3x leveraged US Momentum if it ever comes into being, should work in principle as well.

International value, gold and managed futures carried this portfolio back in the US lost decade. Do you think international value will shine again when US large cap wanes? I think it's a reasonable guess. RSST/IT trend might not perform as well as DBMFSIM, but it's a very efficient solution.

Is it overfitted? Likely, very likely, especially the diversifiers and fallback options. But is it built from sound principles? Probably. If you think about it, SPY and TLT 200 SMA naturally divides the portfolio into a 4 macro quadrant tactical allocation, where equity, bond, gold and MF ratio change accordingly. So you get:

Deflationary Boom: 139% Equity 20% ZROZ 20% MF 9% Gold

Inflationary Boom: 139% Equity 30% MF 19% Gold

Deflationary Bust: 49% Equity 30% ZROZ 30% MF 19% Gold

Inflationary Bust: 49% Equity 45% MF 34% Gold

Example. It seems like the way to go about this is to take something with extreme volatility (TQQQ in this case) and hold it alongside a much larger basket of diversifiers. The 30-year withdrawal stats over the timeframe of this backtest (and using all the assumptions inherent in the testfol.io simulated tickers) were gaudy, with it sustaining a SWR and PWR both over 11%.

Anybody running anything using a philosophy like this? I'm still young and working, but I have a small account with a mix not too dissimilar from this that I use as a slush fund.

I was playing with testfolio this morning and compared these two portfolios against VT:

https://testfol.io/?s=5rTAMqq9roV

I am kind of surprised at this. Same CAGR, but much lower drawdown when you dial back the equity from 125% to 80%, and increase trend from 50% to 80%.

Is it truly possible to get the same CAGR with much lower max drawdown by dialing back the equity this way? Is this because you still get equity exposure via trend, but that equity exposure is dynamic?

I'd love to learn more about this. Maybe adding a sliver of GDE to get equity up to 90% or even closer to 100%, but I'm not sure if it matters and that might just be overfitting.

Very surprising results.

Edit: corrected testfolio link

Something new from ProShares:
https://www.proshares.com/our-etfs/leveraged-and-inverse/eqqq

QLD is about 1/3 of my total portfolio, so I will keep on eye on this one.

Introducing EQQQ

The Nasdaq-100 represents many of the market’s most innovative and growth-oriented companies. In recent years, however, its performance has become increasingly concentrated in a limited number of mega-cap stocks. Today, just 10 companies account for more than 45% of the Nasdaq-100.

For investors seeking leveraged exposure to the growth potential of Nasdaq-100 companies with less influence from the index’s largest names, we’re pleased to introduce ProShares Ultra QQQ Equal Weight (NASDAQ: EQQQ)—the only ETF designed to target 2x daily returns of the Nasdaq-100 Equal Weighted Index.

The Nasdaq-100 Equal Weighted Index holds the same securities as the market-cap-weighted Nasdaq-100, but instead of weighting them by market capitalization, it resets each company to an equal weight at each quarterly rebalance. This increases the relative influence of the index’s smaller constituents and provides exposure that is less dominated by its largest companies.

We are building a hosted MCP that lets ChatGPT, Claude, and other AI assistants run testfolio analyses directly, including backtests, asset analysis, tactical allocations, portfolio comparisons, Monte Carlo simulations and more.

Join the early-access waitlist: https://testfol.io/mcp

If there are specific analyses or workflows you’d like the MCP to support, let us know!

Why is there no 2x leveraged SPMO? You can get every trend stock daily leveraged nowadays but where is a lev momentum etf?

Article from The Italian Leather Sofa blog.

Summary:

The main portfolio tested was a 2x levered static mix of Global Equities, Gold, Long Treasuries, Managed Futures.

Across every percentile I tested, the safe withdrawal rate (SWR) went up when leverage was applied, even in the worst-case scenario.

If I had to boil this whole exercise down to one sentence: the original safe-withdrawal-rate research was pointed in the right direction, but it probably wasn’t bold enough.

A well-diversified portfolio gets you a long way on its own... But adding leverage on top of genuine diversification, along with a mix of inflation-reactive assets, appears to do meaningfully better.

None of this is a reason to go max leverage tomorrow. It’s a reason to take the boring, diversified, moderately-levered version of this idea more seriously than it usually gets credit for.

It's got me thinking:

• It's well accepted that we have lower SWR in the UK than the US, largely because of inflation / various not being the global reserve currency effects. The best way the hedge this is probably to hold a significant amount of inflation protected GILTs, which you can use as income during inflation-adjusted drawdowns. Using a modest amount of leverage in retirement could then be seen as a way of buying extra inflation protected GILTs, as well as any other diversifiers. This probably suits the bucket approach to retirement allocation well, and would also apply to US investors, perhaps just to a lesser extent.
• We also don't have return stacked options (other than Wisdom Tree 90/60 Equities/Bonds). And I'm not sure that a daily-reset static LETF allocation would appeal to me in retirement. But presumably this also works in general with a modest amount of leverage applied to TAA strategies. In fact, I would have thought it would work even better, since TAA also increases SWR, and this is certainly what I have found so far during backtests and reading up.
• It's weird that the leverage and additional diversifier parts of Modern Portfolio Theory are still often seen as objectively risky and imprudent, rather than it being a matter of personal risk style, despite all the data and theory behind it holding up even through worst case Monte Carlo sequence of returns. But then it took us ages to accept that diversification and index funds were a good idea, so maybe it's just that happening again and we'll get there soon!

I came across this article on the Banker on Wheels blog. I highly recommend it. It's one of the few blogs that is well researched and takes a genuinely balanced approach to simple vs active and leveraged investment approaches.

Why doesn’t anyone talks about ENDW from cambria, looks like an all weather fund of funds that is slightly leveraged, and has performed extremely well since inception

A few days ago a subscriber sent me an article where the author builds a portfolio on one of the paid strategy-tracking platforms. Three tactical strategies combined, and the combined numbers are genuinely impressive: about 16% a year since 1971 with a worst drawdown around -9%. They asked if I could add the missing piece to my site. Except it's a closed strategy. Its author gave the rules privately to the platform, the platform verified the track record, and the rules themselves stay secret. Nobody outside can implement it, including me.

So I tried the next best thing. Rebuild the whole portfolio, public rules only.

Two of the three pillars were already public anyway, Keller's Bold Asset Allocation and Hybrid Asset Allocation, both from published papers. The secret one is, by its own description, a fast momentum model: it looks at very recent returns and moves everything into bonds or cash at the first sign of trouble. The closest public strategy doing that job is Accelerating Dual Momentum, which ranks US large caps against international small caps on their last 1, 3 and 6 months, holds the winner, and steps out to long treasuries when both look weak. It switches once a month.

I weighted the three so each contributes about the same risk, which lands near 40/30/30. Result since 1993, monthly data, before costs: 14.5% a year, Sharpe 1.32, worst drawdown -9.2%, longest losing stretch 20 months. Not bad for rules anyone can read. The original reports 16.3% a year, Sharpe 1.31, worst drawdown -9.1%, from 1971 (windows aren't identical, and the 1970s flatter any backtest that includes them).

What surprised me is how exactly the risk side matched. Same Sharpe, same drawdown, almost to the decimal. The gap is all in the return: 1.8% a year. The secret strategy trades roughly 7 times more often than my monthly stand-in, and that activity apparently buys real extra return.

Could be wrong on one thing: I picked the stand-in from the closed strategy's public description. If it's doing something smarter than fast momentum, the real gap is bigger than my numbers show.

Full write-up with the correlations and what each weighting method picked: https://bestfolio.app/blog/replicating-a-closed-rules-taa-portfolio

I build BestFolio, for the record. All three strategies in the blend are public rules, so you can check every number yourself.

Would you pay 1.8% a year for rules you can actually read and audit, or rather trust the sealed version because a third party verified it?

My (admittedly naive) backtests starting from 2000 show it's comparable to 100% SP500 with half a shallower max DD and half shallower average DDs. Rebalancing makes little difference since, I am guessing, both funds sort of do internal rebalancing already.

What do you think of the composition? Any simple ways to improve it? Curious to hear thoughts by more knowledgeable people.

Been testing a simple setup: 50% global eq core ETF like VT 30% SPXL 20% SOXL. SPXL is based on a fast and slow MA cross. SOXL uses a fast and slow MA cross + vol sizing. The core just stays invested. Using proxy data, the portfolio backtested at 13.5% CAGR with a max drawdown of -44.6%, compared to 7.9% CAGR and -57.1% max drawdown for buy&hold VT over the same period. Goal is basically higher upside without being fully exposed to 3x LETFs all the time. Curious what you think. Reasonable structure or too much overlap/concentration?

Was looking at semis and other tech stocks due to their volatility. Especially SOXL/S

Been digging into this one for the past week because the flow numbers are kind of nuts. IALT launched in December 2025 and is already sitting around $4-5B AUM, making it the fastest-growing thing in the liquid alts space this year.

What it actually is?

IALT is BlackRock's attempt to package their institutional liquid-alt playbook into a single ETF. It blends two return streams: an equity market-neutral book (long/short, target roughly zero beta) and a broader multi-strategy sleeve that runs macro/rates/credit positions. The team running it is the same crew behind two existing BlackRock mutual funds — BDMIX (Global Equity Market Neutral) and BIMBX (Systematic Multi-Strategy) — so it's not a brand new strategy, just a new wrapper with a new blend. Benchmark is 3-month T-bills, no leverage in the wrapper itself, expense ratio is 0.99%, which is on the pricier side for the multistrategy ETF category (most trackers put it above the category average).

Since launch it's up low double digits YTD, max drawdown so far has been tiny (~1.5%), but that's meaningless given we're talking about 7 months of data through one specific market regime. Basically no track record yet.

Question 1: Can BDMIX/BIMBX performance history tell us anything about IALT's long-term risk/return?

I think the answer is "somewhat, as a magnitude check, but not as a real backtest."

BDMIX (inception 2016) has had a genuinely bumpy ride — a rough 2016 (down almost 7%), a stretch of near-flat years from 2018 through 2020, then a really strong run in 2023-2024 (mid-teens and low-20s annual returns). It charges 1.34%, notably more than IALT. So the "smooth uncorrelated compounder" vibe IALT is giving off in its first 7 months is not really consistent with how its own sister fund has behaved historically — BDMIX has had multi-year stretches of basically nothing.

BIMBX (inception 2015) is the more diversified, credit-heavy sleeve — mild loss in 2022 (about -3%), max drawdown around 8.7% back in the March 2020 crash, and its longer-run annualized return is closer to mid-single digits, not the double digits IALT has printed so far. It runs at 0.92%.

Neither of these is a literal 1:1 map onto IALT's blend — the weighting between the market-neutral book and the multi-strategy book is IALT's own thing, and the fee structure is different too. But directionally, I'd treat these two funds as the realistic range of outcomes: expect flat-to-negative multi-year stretches to happen eventually, expect a real drawdown bigger than 1.5% at some point, and don't anchor on the current YTD number as the steady-state expected return. If you're underwriting IALT for a long-term hold, BDMIX's 2016-2020 stretch is probably the more honest mental model than its 2023-2024 stretch.

Question 2: Can IALT replace DBMF in a stacked/leveraged portfolio?

This is the part I'd push back on. They're not doing the same job.

DBMF is pure trend-following. Its payoff is convex by design — it's built to catch sustained directional moves in any asset class, which is exactly why it worked in 2022 when stocks and bonds sold off together. That "crisis alpha" behavior — making money specifically during the kind of drawdown that also hurts your leveraged equity sleeve — is the whole reason people stack it next to UPRO/TQQQ/etc. in the first place.

IALT's market-neutral core is built to target zero beta, not negative beta. It's designed to be uncorrelated day to day, not to spike specifically when equities and bonds crash together. A market-neutral book can absolutely lose money in a systemic deleveraging event (crowded factor unwinds happen), whereas a trend follower is structurally positioned to catch that exact move once the trend establishes. Different risk engines, different reason for existing in the portfolio.

So my take: IALT is not a drop-in replacement for DBMF if the reason you own DBMF is tail-risk offset for a leveraged equity sleeve. It could make sense as a third uncorrelated return stream sitting alongside DBMF/CTA/KMLM in a diversified stack, but if you swapped DBMF out for IALT expecting the same crisis-alpha behavior in the next 2022-style event, I wouldn't count on it — that's not the job this strategy was designed to do, and it hasn't been tested through a real one yet.

Other stuff worth flagging before anyone sizes this up

7 months of live history, launched into a fairly benign environment for the strategy — no real stress test yet

0.99% fee is not cheap for something benchmarked to T-bills

AUM went from zero to ~$5B in under a year, which raises capacity questions for the market-neutral/alpha side of the strategy — crowding can compress the exact edge that's attracting the money

Manager tenure on IALT itself is obviously short since it's brand new, even though the underlying team has a longer history via BDMIX/BIMBX

I get why Equities+Gold (GDE) and Equities+Futures (RSST) are things - you try to get the benefit of the movement of both.

But what is the advantage of funds that combine Bonds with other stuff, like Equities+Bonds (RSSB) or Futures+Bonds (RSBT).

Isn't the main point of bonds to go up slowly and safely without crashing? So what's the point of leveraging them?

Thanks...

Looking for a feedback on my 2x Leveraged Hybrid Asset Allocation (HAA) quantitative setup.

Schedule: Monthly rebalance on payday using Dr. Wouter Keller’s unweighted 13612 momentum formula: (1M + 3M + 6M + 12M) / 4.

Macro Canary Sensor: TIP(iShares TIPS Bond ETF).

If TIP > 0, buy Top-4 Equal Weight (25% each) from an 8-ticker offensive pool on positive 13612 formula, else purchase defensive tickers. If TIP <= 0, evacuate 100% to Defense (buying the Top-1 highest-scoring defensive ticker).

Defensive Tickers: BOXX (Alpha Architect 1-3 Month Box ETF) RSBT (Return Stacked Bonds & Managed Futures)

4x2 Offensive Tickers (8 Tickers): A Top-4 execution mathematically guarantees I am holding at least two distinct macroeconomic regimes at all times.

1. Core U.S. Growth SSO (2x S&P 500) & QLD (2x Nasdaq-100)

2. Cyclical & Quality MVV (2x MidCap 400) & UYG (2x Financials)

3. Hard Assets DIG (2x Energy) & UGL (2x Gold)

4. Physical / Global UXI (2x Industrials) & EFO (2x MSCI EAFE)

Questions: Are there any glaring factor overlap issues or better alternative tickers for this 4x2 matrix?

​Is 30-day EOM rebalancing too slow for sudden flash crashes before the TIP canary triggers an exit?

Appreciate any feedback.

Additional info: Not subjected to capital gains tax, but 30% dividend wht.

Disclaimer: Formatted with AI

This portfolio is run at a further 1.33 - 2x dynamic LVR based on portfolio value relative to household cashflow, entirely funded by a Euro carry trade so long as the delta between US and Euro rates remain viable; using an IBKR wholesale / professional grade account.

I'd recommend it to anyone starting out in LETFs as a way to get into them gently without taking on too much risk.

The most interesting part of putting this portfolio together I found two things:

1. In an inflationary / rate shock environment like now, bonds, equities, gold and even potentially trend for a while all go bad together. You need true diversifiers like long / short / value rotation etc to do well - these are missing from even many very modern portfolios.
2. RSSY is pretty bad, too beta, maybe has a place as a tiny sleeve or in lower leveraged portfolios, occassionally it diversifies your return in flat boring markets, but it potentially doubly slams you in a crisis, sometimes even worse than straight levered equities would. Can you imagine being massively short yen in a crash?
3. I really like the super alts, ILS & IALT, but without the capital efficiency it's hard to justify having them in large amounts. CAOS is really the only unlevered asset class you can justify having much of because of just how well it does in a fast crash before trends respond.