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IDA - Flawed ETFs

Work in Progress.

2 responses

Don't forget the short borrow costs, which the backtester doesn't capture. Right now that's 2.7% on SPXS and 3.47% on SPXL at IB. So basically subtract about 3% from your annual return.

Here is my current version of the algo, I implemented the slope of a regression line to check for "good" periods of SPY