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Shorting a basket of leveraged ETF pairs

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.

3 responses

Volpocalypse bankrupted this strat unfortunately

I have my strategy live but it rebalances daily and it has been generating great returns

It looked very enticing until that exact moment when volatility shorts got slammed. Not trying to take away from this work, I appreciate it very much! I'm sure I did something strange or you have adjusted it to overcome such events - i am quite new to coding after all. Good luck!