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Leveraged ETF Mean Reversion (160% Compounding)

Hey Quants, I've been working on a mean reversion algo for DGAZ, Drawdown is definitely an issue. I'm new to coding and the community so I'd love to hear your feedback.

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Nice. Though why would 47% drawdown be an issue? Drawdown should be up to 2x as high as return, so if a strategy returns 20% annually then you can have 40% drawdown.  Warren Buffett's Berkshire had 50% drawdown while returning 20% annually and most people think it's the best investment that ever existed.  My concern would be rather with your cherry-picking of specific testing period, instead of testing the full period since 2012 when DGAZ reached $650/share and later crashed down to as low as $13.  You've basically decided to trade only the "good years" when it started recovering... :-)

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Recommend using a fixed position size (say $5k) to reduce the exponential component of the resulting equity curve. That way you'll have a clearer picture of the strategy performance over time, i.e. MarketOrder( "DGAZ", 5000/stockPrice)

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Casey Barclay 

What I've started to do with high performing high DD strategies, is just cut the amount invested, so it's 160% 50% DD, cut it in half now you have a 80% 25% DD strategy, which is quite amazing, cut in half some more until you get to your desired risk / reward.

Question is does this work on any other ETF?

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Hi, nice numbers. I have looked into your algo and found a lot of parameters with odd numbers. How did you come up with those? 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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