Inspired by recent reading I am sharing a framework for shorting a basket of leveraged ETF pairs.
To learn more about theory behind this:
https://www.signalplot.com/the-definitive-guide-to-shorting-leveraged-etfs/
http://www.darwinsfinance.com/short-etf-inverse-leveraged-direxion-3x/
The result is great with sharpe over 2.5 and CAGR of 17.7%. Even when you assume average borrow rates of 10%, this is still around Sharpe 1.