Please comment on this strategy. The strategy goes short on both UGAZ (30%) and DGAZ (70%), re-balancing is done when one of the short position exceed 20% of the re-balancing threshold. This strategy has a directional bias (bullish NG) but also profit from the decay of leveraged ETFs.
Here is my follow up on the my previous algo. I added an EWMA to determine the direction of the trend, so algo will have a bullish or bearish bias depending on the direction of the trend.
Unfortunately , Quantopian data is not adjusted for UGAZ slpit, so the backtest goes back only to Sep 2015.
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