Back

Strategy Library Addition: Leveraged ETFs with Systematic Risk Management

Hi Everyone,

In this strategy, we manage the risk that comes with holding leveraged ETFs by using Simple Moving Averages. I've attached a backtest, but the full strategy can be found here in our Strategy Library.

Best,
Shile Wen

Update Backtest






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.



0

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.


Nice model! Is it and implementation of this?:

 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741701?

 

You could go all-in mode by using a 3x ETF deep in the money calls. That is the maximum instrumented leverage I can think of. There are also several articles on the topic, for example: 

https://seekingalpha.com/article/4299701-leveraged-etfs-for-long-term-investing

It is how fortunes are made and lost.

0

Hi Hector,

That is indeed the paper! The papers for a strategy in the Strategy Library is typically found under the References section. While I was developing new strategies for our Intern Fund, I employed a 3x leveraged ETF as you mentioned with a very similar strategy to the one outlined here, with an addition of a Risk Parity element, and the algorithm can be found here.

Best,
Shile Wen 

1

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.


In terms of beating the S&P the 3X approach makes a lot of sense. You might fare even better vis-a-vis the S&P using TQQQ or SQQQ. Speaking anecdotally, I certainly justified my screen time today using those indices, though it was like police work: stretches of boredom punctuated by some very intense moments!

0

This is a great paper. If you rebalance weekly instead of daily you avoid whipsaws, improve performance and reduce costs. Also switch out the 3x SPX and use TQQQ to improve the gains. I'm working on moving this to futures instead of 3x ETFs to see how that looks.

1


I tried modifying this for SPX futures, but got stuck. Getting an error on line 36 'float' object is not iterable. I'm not sure how to fix that since I'm trying to get the latest contract that has at least 10 days until expiration.

This is my first try with futures, I guess i'm trying to build logic to only have the latest contract that is at least 10 days to expiration, and not more than 110 days from expiration.

0


Update Backtest





0

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.


Loading...

This discussion is closed