Test Market Timing Models

This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds based on the start of year Shiller PE Ratio as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

The moving average timing model is either invested in a specific stock, ETF or mutual fund, or is alternatively in cash or other risk-free asset based on the moving average signal. The model is invested in the asset when the adjusted close price is greater than the moving average and the model moves to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Moving Averages - Portfolio Assets

The moving average model applies the moving average signal to each portfolio asset. The model is invested in a portfolio asset when the adjusted close price is greater than the moving average and the allocation is moved to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Momentum - Relative Strength

The relative strength momentum model invests in the best performing assets in the model based on each asset's past return. The momentum can be based on a single timing period, or multiple weighted timing periods. Additionally the model supports using moving averages as a risk control to decide whether investments should be moved to cash.

Momentum - Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and incorporates absolute momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.

Adaptive Allocation

The adaptive asset allocation model combines relative strength momentum model with different asset weighting. The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets to minimize the expected volatility.

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
Length
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Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Total
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Market Timing Results (Jan 2010 - Oct 2020) Save

Tactical asset allocation model results from Jan 2010 to Oct 2020 are based on the annual target volatility of 20.00%. The tactical asset allocation model adjusts the equity allocation monthly based on realized historical volatility and the specified target volatility using 1 calendar month volatility period. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for ProShares UltraPro S&P500 (UPRO) [Jul 2009 - Oct 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Target Volatility Model$10,000$115,58325.35%18.36%67.30%-14.29%-19.62% 1.302.300.61
Buy & Hold Portfolio$10,000$125,69826.32%20.89%71.91%-18.79%-23.29% 1.212.110.54
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Target Volatility Model-4.54%1.12%5.70%16.86%19.87%24.45%25.35%
Buy & Hold Portfolio-15.27%2.88%9.50%16.62%18.71%25.94%26.32%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to October
  • The results for the buy-and-hold comparison portfolio assume annual rebalancing
  • The results for the tactical asset allocation model assume monthly rebalancing trades
  • Risk free returns (out of market) are based on 3-month treasury bill returns or the selected asset
  • The volatility signal is based on daily total returns accounting for splits and dividends
  • Additional trading costs and taxes for tactical asset allocation models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Refer to the FAQ section regarding the data sources and methodology descriptions
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Cash (CASHX)
Target Volatility ModelBuy & Hold PortfolioTarget Volatility ModelBuy & Hold Portfolio
20101.50%31.06%27.28%$13,106$12,72836.34%16.20%0.14%
20112.96%31.31%42.58%$17,210$18,147-11.88%109.14%0.07%
20121.74%29.86%26.01%$22,349$22,86746.80%0.60%0.08%
20131.50%24.28%47.62%$27,775$33,755118.49%-39.01%0.05%
20140.76%61.78%64.70%$44,935$55,59738.00%97.34%0.03%
20150.73%-1.30%-9.06%$44,350$50,559-5.24%-13.73%0.05%
20162.07%21.13%15.80%$53,722$58,54630.79%-2.52%0.30%
20172.11%48.38%49.49%$79,711$87,51971.37%22.73%0.88%
20181.91%-14.29%-18.79%$68,322$71,076-25.15%-11.01%1.90%
20192.29%67.30%71.91%$114,302$122,184102.31%34.74%2.13%
20201.29%1.12%2.88%$115,583$125,698-26.74%39.08%0.43%
Annual returns for 2020 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Cash (CASHX)
Target Volatility ModelBuy & Hold PortfolioTarget Volatility ModelBuy & Hold Portfolio
20101-2.85%-2.85%$9,715$9,715-11.19%7.34%0.01%
201023.05%3.59%$10,011$10,0638.94%-1.82%0.01%
201036.31%6.82%$10,643$10,75018.90%-6.73%0.01%
201046.73%6.50%$11,359$11,4494.08%9.96%0.01%
20105-5.84%-6.86%$10,695$10,663-24.15%16.54%0.01%
20106-0.98%1.13%$10,590$10,783-16.58%16.73%0.01%
201076.69%5.79%$11,299$11,40821.17%-3.90%0.02%
201083.21%8.50%$11,661$12,377-13.46%25.94%0.01%
2010911.06%4.03%$12,951$12,87627.94%-9.02%0.01%
2010100.17%-2.71%$12,973$12,52711.44%-13.57%0.01%
201011-2.93%-3.44%$12,593$12,096-0.82%-6.03%0.01%
2010124.07%5.23%$13,106$12,72821.36%-11.63%0.01%
20111-0.49%-0.62%$13,042$12,6496.56%-9.40%0.01%
201127.60%7.97%$14,033$13,65710.39%4.49%0.01%
20113-0.69%-0.70%$13,937$13,561-0.80%-0.55%0.01%
201147.76%7.87%$15,018$14,6298.73%6.57%0.01%
201152.50%1.68%$15,393$14,874-3.93%10.36%0.00%
20116-6.56%-6.52%$14,384$13,904-5.87%-7.39%0.01%
201172.36%1.92%$14,724$14,171-6.39%13.28%0.00%
201180.43%1.65%$14,788$14,404-21.09%27.34%0.01%
201192.77%15.80%$15,198$16,679-20.69%41.35%0.00%
2011109.32%-0.04%$16,614$16,67232.61%-12.87%0.00%
2011110.29%1.81%$16,663$16,974-3.35%4.89%0.00%
2011123.28%6.92%$17,210$18,1472.30%9.46%0.00%
201216.97%6.97%$18,410$19,41213.90%-1.50%0.00%
201223.70%4.46%$19,092$20,27813.24%-7.95%0.01%
20123-0.75%1.15%$18,949$20,5119.29%-13.02%0.01%
201245.08%2.88%$19,912$21,101-2.38%14.37%0.01%
201253.28%-1.20%$20,565$20,847-17.35%28.90%0.01%
201263.71%3.61%$21,328$21,60111.47%-5.78%0.01%
201276.83%6.79%$22,784$23,0683.52%11.43%0.01%
201281.52%1.71%$23,130$23,4646.53%-4.61%0.01%
201290.59%1.28%$23,267$23,7647.52%-7.87%0.01%
201210-4.24%-4.55%$22,281$22,683-5.96%-2.13%0.01%
2012112.31%2.11%$22,797$23,1611.01%3.90%0.01%
201212-1.96%-1.27%$22,349$22,8672.82%-7.80%0.01%
201314.15%4.15%$23,277$23,81615.39%-9.58%0.00%
201323.49%3.50%$24,088$24,6493.56%3.39%0.01%
201335.27%6.04%$25,359$26,13711.03%-1.77%0.01%
201349.41%8.63%$27,745$28,3935.45%14.25%0.01%
20135-5.10%-3.25%$26,330$27,4696.80%-19.65%0.00%
20136-7.14%-6.84%$24,451$25,591-5.23%-10.33%0.00%
201372.92%9.17%$25,165$27,93816.41%-7.41%0.00%
20138-5.78%-7.99%$23,711$25,705-9.21%-4.47%0.00%
201394.62%7.44%$24,807$27,6179.60%1.53%0.00%
2013109.42%11.32%$27,144$30,74413.76%4.12%0.00%
2013110.92%4.84%$27,393$32,2318.87%-8.19%0.00%
2013121.39%4.73%$27,775$33,7557.54%-6.01%0.01%
201412.68%2.87%$28,519$34,724-10.72%19.47%0.01%
201428.24%7.37%$30,870$37,28313.65%1.63%0.00%
201431.97%1.95%$31,479$38,0122.15%1.76%0.00%
201443.59%3.78%$32,609$39,4481.65%5.96%0.00%
201457.60%7.72%$35,087$42,4936.62%8.79%0.00%
201462.97%2.55%$36,131$43,5756.22%-1.00%0.00%
20147-1.72%-1.47%$35,510$42,936-4.44%1.61%0.00%
2014813.06%13.21%$40,150$48,60611.95%14.42%0.00%
20149-5.43%-5.57%$37,969$45,899-4.44%-6.65%0.00%
2014106.95%7.06%$40,607$49,1406.03%8.06%0.00%
2014117.04%8.72%$43,467$53,4268.34%9.08%0.00%
2014123.38%4.06%$44,935$55,597-1.54%9.38%0.00%
201518.27%8.74%$48,652$60,459-9.47%31.01%0.00%
201521.58%-1.68%$49,419$59,44217.48%-17.87%0.00%
20153-1.63%-1.72%$48,611$58,417-5.28%2.57%0.00%
20154-1.77%-3.50%$47,750$56,3722.59%-10.30%0.00%
20155-1.67%-1.55%$46,951$55,4973.43%-7.91%0.00%
20156-5.89%-8.79%$44,187$50,618-6.21%-12.49%0.00%
201578.92%9.02%$48,128$55,1866.17%13.40%0.00%
20158-11.61%-12.26%$42,539$48,423-18.87%-2.75%0.01%
20159-1.19%-2.39%$42,032$47,264-8.64%5.10%0.01%
20151011.09%12.83%$46,693$53,32726.79%-1.73%0.00%
201511-0.77%-0.69%$46,333$52,9600.81%-2.71%0.01%
201512-4.28%-4.53%$44,350$50,559-6.06%-2.41%0.02%
20161-0.28%-0.47%$44,227$50,319-15.38%17.74%0.01%
201621.69%3.85%$44,973$52,256-1.68%8.71%0.03%
2016310.56%9.16%$49,721$57,04321.50%-0.64%0.03%
20164-0.63%-0.82%$49,406$56,5770.81%-2.39%0.02%
201653.40%3.26%$51,083$58,4204.65%1.86%0.02%
201669.44%10.35%$55,905$64,465-0.20%21.23%0.03%
201678.48%8.40%$60,646$69,87711.13%6.07%0.02%
20168-1.55%-1.84%$59,705$68,5890.11%-3.58%0.02%
20169-2.45%-2.74%$58,245$66,708-0.54%-4.78%0.03%
201610-5.45%-9.54%$55,073$60,343-5.62%-13.32%0.02%
201611-4.68%-6.00%$52,496$56,72111.05%-23.91%0.03%
2016122.34%3.22%$53,722$58,5465.96%-0.99%0.04%
201713.50%3.50%$55,600$60,5935.14%1.49%0.04%
201728.54%8.60%$60,346$65,80511.91%4.41%0.04%
20173-1.18%-1.12%$59,636$65,067-0.22%-2.35%0.04%
201743.52%3.47%$61,735$67,3232.77%4.43%0.06%
201754.36%4.32%$64,426$70,2313.70%5.17%0.07%
201761.72%1.71%$65,537$71,4341.51%1.98%0.08%
201772.13%2.32%$66,936$73,0935.87%-2.43%0.08%
201784.67%4.25%$70,063$76,2000.21%10.13%0.09%
20179-0.15%0.10%$69,959$76,2795.69%-7.29%0.08%
2017103.52%3.90%$72,423$79,2536.83%-0.53%0.09%
2017115.66%6.15%$76,522$84,1248.87%1.73%0.09%
2017124.17%4.03%$79,711$87,5193.45%5.04%0.10%
201815.62%5.62%$84,193$92,44018.22%-9.77%0.11%
20182-11.51%-12.01%$74,505$81,337-13.53%-9.57%0.12%
20183-0.34%-1.92%$74,251$79,774-8.69%8.44%0.14%
20184-2.04%-3.01%$72,733$77,375-0.14%-6.71%0.14%
201854.28%5.96%$75,845$81,9886.46%5.27%0.15%
201861.38%1.37%$76,890$83,1121.29%1.49%0.16%
201873.79%4.28%$79,801$86,67110.73%-4.70%0.16%
201886.51%6.90%$84,998$92,6549.09%3.36%0.17%
20189-3.29%-2.48%$82,204$90,3541.20%-8.77%0.17%
201810-15.53%-16.75%$69,439$75,221-20.78%-9.11%0.18%
2018112.73%4.46%$71,333$78,5744.28%4.76%0.19%
201812-4.22%-9.54%$68,322$71,076-26.25%17.93%0.19%
201916.38%13.33%$72,678$80,54923.89%0.41%0.20%
201922.62%3.78%$74,583$83,5919.28%-4.52%0.20%
2019310.32%9.31%$82,278$91,3714.85%17.00%0.20%
201943.54%4.60%$85,194$95,57311.81%-6.56%0.20%
20195-0.89%-4.86%$84,433$90,925-18.89%21.11%0.20%
2019612.61%12.68%$95,082$102,45421.37%1.90%0.19%
201972.24%2.40%$97,208$104,9113.80%0.32%0.17%
2019812.16%9.89%$109,028$115,286-6.62%35.11%0.17%
20199-0.91%-1.69%$108,040$113,3345.30%-9.07%0.16%
2019101.21%1.28%$109,349$114,7905.70%-4.11%0.15%
2019114.44%5.31%$114,201$120,88110.73%-2.01%0.13%
2019120.09%1.08%$114,302$122,1848.38%-10.05%0.13%
2020110.21%10.21%$125,969$134,655-0.91%23.80%0.13%
20202-4.61%-2.34%$120,163$131,509-23.04%17.91%0.13%
20203-12.61%-11.49%$105,010$116,402-48.13%11.91%0.10%
202043.26%10.56%$108,429$128,69337.17%2.68%0.01%
202051.52%-0.85%$110,080$127,59913.38%-6.48%0.01%
202061.20%1.42%$111,406$129,4053.23%0.54%0.01%
202078.68%14.64%$121,077$148,34817.70%13.13%0.01%
202085.42%-2.38%$127,644$144,81122.05%-14.89%0.01%
20209-5.22%-3.95%$120,984$139,088-12.26%2.15%0.01%
202010-4.46%-9.63%$115,583$125,698-8.48%-10.35%0.01%
Portfolio return and risk metrics
MetricTarget Volatility ModelBuy & Hold Portfolio
Arithmetic Mean (monthly)2.04%2.15%
Arithmetic Mean (annualized)27.42%29.03%
Geometric Mean (monthly)1.90%1.97%
Geometric Mean (annualized)25.35%26.32%
Volatility (monthly)5.30%6.03%
Volatility (annualized)18.36%20.89%
Downside Deviation (monthly)2.98%3.42%
Max. Drawdown-19.62%-23.29%
US Market Correlation0.610.54
Beta(*)0.790.79
Alpha (annualized)14.35%15.54%
R237.61%29.58%
Sharpe Ratio1.301.21
Sortino Ratio2.302.11
Treynor Ratio (%)30.4531.79
Calmar Ratio0.860.71
Active Return12.81%13.79%
Tracking Error14.83%17.78%
Information Ratio0.860.78
Skewness-0.48-0.39
Excess Kurtosis0.600.24
Historical Value-at-Risk (5%)-6.19%-9.54%
Analytical Value-at-Risk (5%)-6.68%-7.77%
Conditional Value-at-Risk (5%)-10.83%-11.95%
Upside Capture Ratio (%)119.87128.74
Downside Capture Ratio (%)55.1663.22
Safe Withdrawal Rate29.76%31.72%
Perpetual Withdrawal Rate20.24%20.90%
Positive Periods87 out of 130 (66.92%)84 out of 130 (64.62%)
Gain/Loss Ratio1.301.32
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Target Volatility Model

Drawdowns for Target Volatility Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsApr 20194 months8 months-19.62%
2Feb 2020Mar 20202 monthsAug 20205 months7 months-16.64%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-14.95%
4May 2013Aug 20134 monthsDec 20134 months8 months-14.54%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-13.61%
6Aug 2016Nov 20164 monthsApr 20175 months9 months-13.44%
7Sep 2020Oct 20202 months-9.45%
8May 2010Jun 20102 monthsAug 20102 months4 months-6.76%
9Jun 2011Jun 20111 monthOct 20114 months5 months-6.56%
10Sep 2014Sep 20141 monthOct 20141 month2 months-5.43%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsApr 20194 months8 months-23.29%
2Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-21.82%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-18.83%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-16.30%
5Aug 2020Oct 20203 months-15.27%
6Feb 2020Mar 20202 monthsJul 20204 months6 months-13.56%
7May 2013Jun 20132 monthsOct 20134 months6 months-9.87%
8May 2010May 20101 monthAug 20103 months4 months-6.86%
9Jun 2011Jun 20111 monthSep 20113 months4 months-6.52%
10Oct 2010Nov 20102 monthsFeb 20113 months5 months-6.06%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTarget Volatility ModelBuy & Hold Portfolio
AverageHighLowAverageHighLow
1 year29.95%67.30%-14.29%31.75%71.91%-18.79%
3 years26.54%37.70%15.49%27.75%45.24%12.02%
5 years26.24%35.06%19.72%27.17%40.93%16.06%
7 years26.15%29.42%21.77%27.25%31.71%21.53%
10 years27.59%27.59%27.59%28.44%28.44%28.44%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsTarget Volatility ModelBuy & Hold Portfolio
1Jan 2010Jan 2010155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-2.85%-2.85%
2Feb 2010Feb 2010140.96% ProShares UltraPro S&P500 (UPRO)
33.51% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
25.53% Cash (CASHX)
3.05%3.59%
3Mar 2010Mar 2010147.05% ProShares UltraPro S&P500 (UPRO)
38.50% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
14.45% Cash (CASHX)
6.31%6.82%
4Apr 2010May 2010255.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
0.49%-0.81%
5Jun 2010Jun 2010134.12% ProShares UltraPro S&P500 (UPRO)
27.92% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
37.96% Cash (CASHX)
-0.98%1.13%
6Jul 2010Jul 2010137.16% ProShares UltraPro S&P500 (UPRO)
30.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
32.44% Cash (CASHX)
6.69%5.79%
7Aug 2010Aug 2010141.29% ProShares UltraPro S&P500 (UPRO)
33.78% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
24.92% Cash (CASHX)
3.21%8.50%
8Sep 2010Sep 2010153.80% ProShares UltraPro S&P500 (UPRO)
44.02% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2.18% Cash (CASHX)
11.06%4.03%
9Oct 2010Oct 2010150.69% ProShares UltraPro S&P500 (UPRO)
41.47% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
7.84% Cash (CASHX)
0.17%-2.71%
10Nov 2010Nov 2010150.91% ProShares UltraPro S&P500 (UPRO)
41.65% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
7.44% Cash (CASHX)
-2.93%-3.44%
11Dec 2010Dec 2010134.30% ProShares UltraPro S&P500 (UPRO)
28.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
37.65% Cash (CASHX)
4.07%5.23%
12Jan 2011Jan 2011143.15% ProShares UltraPro S&P500 (UPRO)
35.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
21.54% Cash (CASHX)
-0.49%-0.62%
13Feb 2011Feb 2011154.05% ProShares UltraPro S&P500 (UPRO)
44.22% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
1.73% Cash (CASHX)
7.60%7.97%
14Mar 2011Jun 2011455.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2.50%1.81%
15Jul 2011Jul 2011152.87% ProShares UltraPro S&P500 (UPRO)
43.26% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
3.87% Cash (CASHX)
2.36%1.92%
16Aug 2011Aug 2011133.61% ProShares UltraPro S&P500 (UPRO)
27.50% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
38.88% Cash (CASHX)
0.43%1.65%
17Sep 2011Sep 2011121.09% ProShares UltraPro S&P500 (UPRO)
17.25% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.66% Cash (CASHX)
2.77%15.80%
18Oct 2011Oct 2011142.20% ProShares UltraPro S&P500 (UPRO)
34.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
23.27% Cash (CASHX)
9.32%-0.04%
19Nov 2011Nov 2011144.97% ProShares UltraPro S&P500 (UPRO)
36.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
18.24% Cash (CASHX)
0.29%1.81%
20Dec 2011Dec 2011132.72% ProShares UltraPro S&P500 (UPRO)
26.77% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.51% Cash (CASHX)
3.28%6.92%
21Jan 2012Mar 2012355.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
10.11%13.02%
22Apr 2012Apr 2012154.18% ProShares UltraPro S&P500 (UPRO)
44.33% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
1.48% Cash (CASHX)
5.08%2.88%
23May 2012May 2012152.11% ProShares UltraPro S&P500 (UPRO)
42.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
5.25% Cash (CASHX)
3.28%-1.20%
24Jun 2012Jun 2012155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
3.71%3.61%
25Jul 2012Jul 2012153.06% ProShares UltraPro S&P500 (UPRO)
43.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
3.53% Cash (CASHX)
6.83%6.79%
26Aug 2012May 20131055.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
15.56%19.08%
27Jun 2013Jun 2013152.17% ProShares UltraPro S&P500 (UPRO)
42.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
5.14% Cash (CASHX)
-7.14%-6.84%
28Jul 2013Jul 2013128.20% ProShares UltraPro S&P500 (UPRO)
23.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.73% Cash (CASHX)
2.92%9.17%
29Aug 2013Aug 2013144.89% ProShares UltraPro S&P500 (UPRO)
36.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
18.39% Cash (CASHX)
-5.78%-7.99%
30Sep 2013Sep 2013142.57% ProShares UltraPro S&P500 (UPRO)
34.83% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
22.61% Cash (CASHX)
4.62%7.44%
31Oct 2013Oct 2013155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
9.42%11.32%
32Nov 2013Nov 2013142.20% ProShares UltraPro S&P500 (UPRO)
34.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
23.27% Cash (CASHX)
0.92%4.84%
33Dec 2013Dec 2013153.31% ProShares UltraPro S&P500 (UPRO)
43.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
3.07% Cash (CASHX)
1.39%4.73%
34Jan 2014Jan 2014151.34% ProShares UltraPro S&P500 (UPRO)
42.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
6.65% Cash (CASHX)
2.68%2.87%
35Feb 2014Oct 2014955.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.38%41.52%
36Nov 2014Nov 2014144.66% ProShares UltraPro S&P500 (UPRO)
36.54% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
18.80% Cash (CASHX)
7.04%8.72%
37Dec 2014Dec 2014155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
3.38%4.06%
38Jan 2015Jan 2015152.02% ProShares UltraPro S&P500 (UPRO)
42.56% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
5.42% Cash (CASHX)
8.27%8.74%
39Feb 2015Feb 2015155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
1.58%-1.68%
40Mar 2015Mar 2015151.46% ProShares UltraPro S&P500 (UPRO)
42.11% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
6.43% Cash (CASHX)
-1.63%-1.72%
41Apr 2015Apr 2015130.38% ProShares UltraPro S&P500 (UPRO)
24.85% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.77% Cash (CASHX)
-1.77%-3.50%
42May 2015May 2015155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-1.67%-1.55%
43Jun 2015Jun 2015135.84% ProShares UltraPro S&P500 (UPRO)
29.32% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
34.84% Cash (CASHX)
-5.89%-8.79%
44Jul 2015Jul 2015152.04% ProShares UltraPro S&P500 (UPRO)
42.58% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
5.38% Cash (CASHX)
8.92%9.02%
45Aug 2015Aug 2015155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-11.61%-12.26%
46Sep 2015Sep 2015126.78% ProShares UltraPro S&P500 (UPRO)
21.91% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.30% Cash (CASHX)
-1.19%-2.39%
47Oct 2015Oct 2015143.71% ProShares UltraPro S&P500 (UPRO)
35.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
20.52% Cash (CASHX)
11.09%12.83%
48Nov 2015Nov 2015155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-0.77%-0.69%
49Dec 2015Dec 2015153.30% ProShares UltraPro S&P500 (UPRO)
43.61% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
3.10% Cash (CASHX)
-4.28%-4.53%
50Jan 2016Jan 2016132.95% ProShares UltraPro S&P500 (UPRO)
26.96% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.09% Cash (CASHX)
-0.28%-0.47%
51Feb 2016Feb 2016130.79% ProShares UltraPro S&P500 (UPRO)
25.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.02% Cash (CASHX)
1.69%3.85%
52Mar 2016Mar 2016150.33% ProShares UltraPro S&P500 (UPRO)
41.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
8.49% Cash (CASHX)
10.56%9.16%
53Apr 2016Jun 2016355.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
12.44%13.01%
54Jul 2016Jul 2016152.66% ProShares UltraPro S&P500 (UPRO)
43.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
4.26% Cash (CASHX)
8.48%8.40%
55Aug 2016Sep 2016255.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-3.96%-4.54%
56Oct 2016Oct 2016133.02% ProShares UltraPro S&P500 (UPRO)
27.02% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
39.97% Cash (CASHX)
-5.45%-9.54%
57Nov 2016Nov 2016155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-4.68%-6.00%
58Dec 2016Dec 2016145.19% ProShares UltraPro S&P500 (UPRO)
36.97% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
17.84% Cash (CASHX)
2.34%3.22%
59Jan 2017Jan 20181355.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.72%57.89%
60Feb 2018Feb 2018153.87% ProShares UltraPro S&P500 (UPRO)
44.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2.05% Cash (CASHX)
-11.51%-12.01%
61Mar 2018Mar 2018123.53% ProShares UltraPro S&P500 (UPRO)
19.25% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.22% Cash (CASHX)
-0.34%-1.92%
62Apr 2018Apr 2018137.16% ProShares UltraPro S&P500 (UPRO)
30.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
32.44% Cash (CASHX)
-2.04%-3.01%
63May 2018May 2018139.31% ProShares UltraPro S&P500 (UPRO)
32.16% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
28.54% Cash (CASHX)
4.28%5.96%
64Jun 2018Oct 2018555.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-8.45%-8.25%
65Nov 2018Nov 2018132.43% ProShares UltraPro S&P500 (UPRO)
26.54% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.03% Cash (CASHX)
2.73%4.46%
66Dec 2018Dec 2018137.00% ProShares UltraPro S&P500 (UPRO)
30.27% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
32.73% Cash (CASHX)
-4.22%-9.54%
67Jan 2019Jan 2019125.87% ProShares UltraPro S&P500 (UPRO)
21.17% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
52.96% Cash (CASHX)
6.38%13.33%
68Feb 2019Feb 2019146.42% ProShares UltraPro S&P500 (UPRO)
37.98% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
15.61% Cash (CASHX)
2.62%3.78%
69Mar 2019Aug 2019655.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
46.18%37.92%
70Sep 2019Sep 2019144.13% ProShares UltraPro S&P500 (UPRO)
36.11% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
19.77% Cash (CASHX)
-0.91%-1.69%
71Oct 2019Oct 2019151.49% ProShares UltraPro S&P500 (UPRO)
42.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
6.39% Cash (CASHX)
1.21%1.28%
72Nov 2019Nov 2019148.66% ProShares UltraPro S&P500 (UPRO)
39.81% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
11.53% Cash (CASHX)
4.44%5.31%
73Dec 2019Feb 2020355.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
5.22%8.79%
74Mar 2020Mar 2020132.96% ProShares UltraPro S&P500 (UPRO)
26.97% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.07% Cash (CASHX)
-12.61%-11.49%
75Apr 2020Apr 202018.25% ProShares UltraPro S&P500 (UPRO)
6.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
85.00% Cash (CASHX)
3.26%10.56%
76May 2020May 2020118.78% ProShares UltraPro S&P500 (UPRO)
15.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
65.85% Cash (CASHX)
1.52%-0.85%
77Jun 2020Jun 2020132.62% ProShares UltraPro S&P500 (UPRO)
26.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.70% Cash (CASHX)
1.20%1.42%
78Jul 2020Jul 2020130.50% ProShares UltraPro S&P500 (UPRO)
24.95% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.55% Cash (CASHX)
8.68%14.64%
79Aug 2020Aug 2020155.00% ProShares UltraPro S&P500 (UPRO)
45.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
5.42%-2.38%
80Sep 2020Sep 2020149.69% ProShares UltraPro S&P500 (UPRO)
40.66% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
9.65% Cash (CASHX)
-5.22%-3.95%
81Oct 2020Oct 2020126.37% ProShares UltraPro S&P500 (UPRO)
21.57% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
52.06% Cash (CASHX)
-4.46%-9.63%
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