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
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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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Market Timing Results (Jan 2010 - Oct 2020) Save

Tactical asset allocation model results from Jan 2010 to Oct 2020 are based on annualized downside target volatility of 35.00%. 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 first trading day's close price each month based on the end of month signals.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Target Volatility Model$10,000$267,20635.43%29.54%91.05%-15.89%-30.06% 1.162.110.89
Buy & Hold Portfolio$10,000$135,58427.21%29.05%88.80%-22.32%-38.17% 0.971.510.94
Vanguard 500 Index Investor$10,000$36,09812.58%13.83%32.18%-4.52%-19.63% 0.891.411.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Target Volatility Model-7.19%6.13%20.23%23.88%26.90%36.25%35.43%
Buy & Hold Portfolio-9.49%-13.58%-1.37%12.29%19.23%27.59%27.21%
Vanguard 500 Index Investor0.34%2.65%9.56%10.28%11.56%12.85%12.58%
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)
Target Volatility ModelBuy & Hold PortfolioVanguard 500 Index InvestorTarget Volatility ModelBuy & Hold PortfolioVanguard 500 Index Investor
20101.50%36.20%32.31%14.91%$13,620$13,231$11,49136.34%16.20%
20112.96%53.10%12.33%1.97%$20,853$14,862$11,717-11.88%109.14%
20121.74%43.58%37.56%15.82%$29,940$20,444$13,57246.80%0.60%
20131.50%74.18%86.99%32.18%$52,149$38,228$17,938118.49%-39.01%
20140.76%51.23%49.87%13.51%$78,862$57,293$20,36138.00%97.34%
20150.73%-2.24%-6.94%1.25%$77,095$53,316$20,616-5.24%-13.73%
20162.07%26.15%24.12%11.82%$97,255$66,178$23,05230.79%-2.52%
20172.11%61.09%61.65%21.67%$156,666$106,975$28,04771.37%22.73%
20181.91%-15.89%-22.32%-4.52%$131,778$83,098$26,778-25.15%-11.01%
20192.29%91.05%88.80%31.33%$251,769$156,887$35,166102.31%34.74%
20201.29%6.13%-13.58%2.65%$267,206$135,584$36,098-26.74%39.08%
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)
Target Volatility ModelBuy & Hold PortfolioVanguard 500 Index InvestorTarget Volatility ModelBuy & Hold PortfolioVanguard 500 Index Investor
20101-10.91%-7.48%-3.60%$8,909$9,252$9,640-11.19%7.34%
201026.44%6.44%3.09%$9,482$9,848$9,9388.94%-1.82%
2010313.69%13.42%6.01%$10,780$11,169$10,53518.90%-6.73%
201045.40%5.12%1.58%$11,362$11,740$10,7024.08%9.96%
20105-15.76%-16.66%-8.01%$9,572$9,784$9,845-24.15%16.54%
20106-9.71%-8.00%-5.24%$8,642$9,001$9,329-16.58%16.73%
2010716.27%12.98%7.00%$10,048$10,170$9,98221.17%-3.90%
20108-4.34%-2.51%-4.53%$9,612$9,915$9,530-13.46%25.94%
2010918.50%14.67%8.92%$11,390$11,369$10,37927.94%-9.02%
2010106.42%4.32%3.79%$12,122$11,860$10,77311.44%-13.57%
201011-1.83%-2.05%0.00%$11,900$11,617$10,773-0.82%-6.03%
20101214.46%13.90%6.67%$13,620$13,231$11,49121.36%-11.63%
201113.42%3.37%2.36%$14,086$13,677$11,7626.56%-9.40%
201129.33%9.36%3.42%$15,401$14,957$12,16410.39%4.49%
20113-0.68%-0.76%0.03%$15,295$14,844$12,167-0.80%-0.55%
201148.30%8.37%2.95%$16,564$16,086$12,5268.73%6.57%
20115-1.11%-1.58%-1.15%$16,380$15,833$12,382-3.93%10.36%
20116-5.76%-6.15%-1.67%$15,438$14,858$12,175-5.87%-7.39%
20117-2.17%-2.80%-2.05%$15,102$14,442$11,926-6.39%13.28%
20118-11.54%-10.78%-5.45%$13,359$12,885$11,277-21.09%27.34%
2011912.95%-1.85%-7.04%$15,089$12,647$10,482-20.69%41.35%
20111037.09%12.71%10.91%$20,686$14,255$11,62632.61%-12.87%
201111-2.88%-0.56%-0.23%$20,091$14,174$11,599-3.35%4.89%
2011123.79%4.85%1.02%$20,853$14,862$11,7172.30%9.46%
2012110.58%10.82%4.46%$23,058$16,470$12,24013.90%-1.50%
201228.91%9.47%4.31%$25,112$18,030$12,76813.24%-7.95%
201234.81%5.96%3.28%$26,319$19,105$13,1879.29%-13.02%
201241.01%-0.33%-0.64%$26,585$19,042$13,102-2.38%14.37%
20125-7.92%-10.84%-6.02%$24,481$16,979$12,314-17.35%28.90%
2012610.23%7.96%4.11%$26,985$18,330$12,82011.47%-5.78%
201274.97%4.92%1.37%$28,325$19,232$12,9953.52%11.43%
201284.28%4.43%2.24%$29,536$20,083$13,2866.53%-4.61%
201294.44%4.87%2.58%$30,849$21,061$13,6297.52%-7.87%
201210-5.21%-5.38%-1.86%$29,243$19,927$13,375-5.96%-2.13%
2012111.63%1.46%0.56%$29,719$20,219$13,4501.01%3.90%
2012120.74%1.11%0.90%$29,940$20,444$13,5722.82%-7.80%
2013110.38%10.39%5.18%$33,048$22,569$14,27415.39%-9.58%
201323.75%3.54%1.34%$34,286$23,367$14,4653.56%3.39%
201338.50%8.94%3.74%$37,199$25,456$15,00611.03%-1.77%
201347.11%6.75%1.91%$39,845$27,173$15,2925.45%14.25%
201351.84%2.63%2.33%$40,580$27,887$15,6486.80%-19.65%
20136-6.26%-5.86%-1.35%$38,041$26,254$15,437-5.23%-10.33%
2013711.61%13.61%5.07%$42,457$29,826$16,22016.41%-7.41%
20138-7.80%-8.76%-2.91%$39,145$27,214$15,748-9.21%-4.47%
201397.82%8.79%3.12%$42,207$29,605$16,2399.60%1.53%
20131011.81%12.86%4.59%$47,193$33,412$16,98413.76%4.12%
2013115.41%7.40%3.03%$49,746$35,883$17,4988.87%-8.19%
2013124.83%6.53%2.51%$52,149$38,228$17,9387.54%-6.01%
20141-4.91%-4.68%-3.47%$49,589$36,440$17,316-10.72%19.47%
2014212.18%10.64%4.56%$55,631$40,317$18,10613.65%1.63%
201431.97%2.06%0.82%$56,724$41,147$18,2552.15%1.76%
201442.62%2.64%0.72%$58,208$42,234$18,3871.65%5.96%
201457.11%7.14%2.33%$62,345$45,248$18,8166.62%8.79%
201464.76%4.49%2.05%$65,316$47,278$19,2026.22%-1.00%
20147-3.12%-3.06%-1.39%$63,276$45,831$18,936-4.44%1.61%
2014812.52%12.54%3.98%$71,195$51,580$19,69011.95%14.42%
20149-4.85%-4.97%-1.41%$67,744$49,015$19,412-4.44%-6.65%
2014106.62%6.52%2.42%$72,226$52,209$19,8826.03%8.06%
2014118.49%8.52%2.68%$78,359$56,658$20,4158.34%9.08%
2014120.64%1.12%-0.26%$78,862$57,293$20,361-1.54%9.38%
20151-1.51%-1.38%-3.02%$77,668$56,505$19,747-9.47%31.01%
201529.90%8.09%5.74%$85,356$61,078$20,88017.48%-17.87%
20153-3.20%-3.70%-1.59%$82,624$58,821$20,548-5.28%2.57%
201540.29%-0.18%0.95%$82,861$58,716$20,7432.59%-10.30%
201551.31%1.24%1.27%$83,950$59,444$21,0073.43%-7.91%
20156-7.46%-7.31%-1.93%$77,690$55,097$20,601-6.21%-12.49%
201577.80%7.37%2.08%$83,750$59,160$21,0296.17%13.40%
20158-15.65%-16.04%-6.04%$70,645$49,670$19,759-18.87%-2.75%
20159-5.18%-5.85%-2.49%$66,988$46,765$19,267-8.64%5.10%
20151021.21%20.33%8.42%$81,193$56,271$20,88926.79%-1.73%
2015110.30%0.16%0.29%$81,438$56,362$20,9490.81%-2.71%
201512-5.33%-5.40%-1.59%$77,095$53,316$20,616-6.06%-2.41%
20161-9.03%-8.75%-4.98%$70,136$48,649$19,590-15.38%17.74%
201620.39%1.00%-0.15%$70,407$49,136$19,561-1.68%8.71%
2016316.66%15.35%6.78%$82,138$56,677$20,88721.50%-0.64%
201640.17%0.04%0.37%$82,281$56,700$20,9650.81%-2.39%
201654.14%4.00%1.78%$85,685$58,968$21,3384.65%1.86%
201664.06%4.70%0.25%$89,164$61,737$21,392-0.20%21.23%
2016710.05%9.79%3.68%$98,126$67,783$22,17811.13%6.07%
20168-0.68%-0.84%0.13%$97,463$67,217$22,2070.11%-3.58%
20169-1.38%-1.59%0.01%$96,115$66,148$22,209-0.54%-4.78%
201610-7.16%-7.47%-1.83%$89,230$61,204$21,802-5.62%-13.32%
2016114.17%3.17%3.70%$92,947$63,144$22,60811.05%-23.91%
2016124.63%4.81%1.96%$97,255$66,178$23,0525.96%-0.99%
201714.41%4.41%1.88%$101,547$69,095$23,4865.14%1.49%
2017210.40%10.45%3.96%$112,110$76,317$24,41711.91%4.41%
20173-0.47%-0.61%0.10%$111,578$75,852$24,441-0.22%-2.35%
201743.15%3.07%1.02%$115,096$78,181$24,6902.77%4.43%
201754.03%3.97%1.39%$119,732$81,283$25,0343.70%5.17%
201761.60%1.60%0.61%$121,648$82,584$25,1871.51%1.98%
201774.19%4.33%2.04%$126,744$86,160$25,7015.87%-2.43%
201782.16%1.93%0.29%$129,479$87,824$25,7770.21%10.13%
201793.01%3.25%2.06%$133,381$90,683$26,3085.69%-7.29%
2017105.38%5.59%2.32%$140,553$95,755$26,9176.83%-0.53%
2017117.45%7.74%3.06%$151,022$103,166$27,7418.87%1.73%
2017123.74%3.69%1.10%$156,666$106,975$28,0473.45%5.04%
2018112.45%12.62%5.71%$176,179$120,474$29,64918.22%-9.77%
20182-12.61%-12.90%-3.69%$153,956$104,936$28,553-13.53%-9.57%
20183-2.87%-5.84%-2.56%$149,536$98,809$27,824-8.69%8.44%
201840.67%-1.40%0.37%$150,532$97,429$27,928-0.14%-6.71%
201856.27%6.25%2.39%$159,969$103,517$28,5966.46%5.27%
201861.36%1.32%0.61%$162,141$104,885$28,7691.29%1.49%
201877.62%7.95%3.71%$174,497$113,228$29,83610.73%-4.70%
201887.98%8.18%3.25%$188,426$122,493$30,8059.09%3.36%
20189-0.81%-0.31%0.55%$186,905$122,108$30,9761.20%-8.77%
201810-18.33%-19.16%-6.85%$152,646$98,713$28,854-20.78%-9.11%
2018114.49%4.35%2.03%$159,496$103,009$29,4394.28%4.76%
201812-17.38%-19.33%-9.04%$131,778$83,098$26,778-26.25%17.93%
2019117.87%19.20%8.00%$155,326$99,050$28,92023.89%0.41%
201926.45%6.96%3.20%$165,341$105,941$29,8469.28%-4.52%
201937.51%6.68%1.94%$177,755$113,016$30,4244.85%17.00%
201947.78%8.78%4.04%$191,592$122,939$31,65411.81%-6.56%
20195-11.14%-13.23%-6.36%$170,255$106,680$29,639-18.89%21.11%
2019617.77%17.52%7.03%$200,503$125,372$31,72321.37%1.90%
201973.20%3.21%1.43%$206,925$129,393$32,1763.80%0.32%
201981.30%0.34%-1.59%$209,611$129,828$31,664-6.62%35.11%
201992.09%2.07%1.86%$214,002$132,518$32,2525.30%-9.07%
2019103.86%3.74%2.15%$222,253$137,470$32,9475.70%-4.11%
2019118.22%8.38%3.62%$240,518$148,988$34,14010.73%-2.01%
2019124.68%5.30%3.01%$251,769$156,887$35,1668.38%-10.05%
202013.98%4.03%-0.05%$261,793$163,207$35,149-0.91%23.80%
20202-14.76%-13.29%-8.24%$223,161$141,517$32,252-23.04%17.91%
20203-11.04%-28.70%-12.37%$198,522$100,906$28,262-48.13%11.91%
2020411.52%19.65%12.81%$221,390$120,735$31,88337.17%2.68%
202059.53%4.72%4.76%$242,498$126,437$33,39913.38%-6.48%
202062.30%2.19%1.98%$248,076$129,202$34,0603.23%0.54%
2020716.06%15.95%5.63%$287,906$149,808$35,97617.70%13.13%
2020812.49%8.24%7.18%$323,855$162,152$38,55822.05%-14.89%
20209-9.42%-8.02%-3.81%$293,336$149,141$37,089-12.26%2.15%
202010-8.91%-9.09%-2.67%$267,206$135,584$36,098-8.48%-10.35%
Portfolio return and risk metrics
MetricTarget Volatility ModelBuy & Hold PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)2.91%2.38%1.07%
Arithmetic Mean (annualized)41.12%32.67%13.64%
Geometric Mean (monthly)2.56%2.03%0.99%
Geometric Mean (annualized)35.43%27.21%12.58%
Volatility (monthly)8.53%8.39%3.99%
Volatility (annualized)29.54%29.05%13.83%
Downside Deviation (monthly)4.69%5.32%2.48%
Max. Drawdown-30.06%-38.17%-19.63%
US Market Correlation0.890.941.00
Beta(*)1.911.991.00
Alpha (annualized)10.34%3.07%0.00%
R280.24%89.36%100.00%
Sharpe Ratio1.160.970.89
Sortino Ratio2.111.511.41
Treynor Ratio (%)17.9714.1212.30
Calmar Ratio0.790.320.52
Active Return22.85%14.63%N/A
Tracking Error18.22%16.60%N/A
Information Ratio1.250.88N/A
Skewness0.11-0.68-0.39
Excess Kurtosis1.481.121.11
Historical Value-at-Risk (5%)-12.02%-13.25%-6.58%
Analytical Value-at-Risk (5%)-11.11%-11.41%-5.49%
Conditional Value-at-Risk (5%)-15.75%-18.86%-8.59%
Upside Capture Ratio (%)254.93240.08100.00
Downside Capture Ratio (%)172.95196.34100.00
Safe Withdrawal Rate41.46%31.65%16.98%
Perpetual Withdrawal Rate26.64%21.50%10.39%
Positive Periods91 out of 130 (70.00%)87 out of 130 (66.92%)90 out of 130 (69.23%)
Gain/Loss Ratio1.031.010.87
* Vanguard 500 Index Investor 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-30.06%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-24.17%
3May 2010Jun 20102 monthsSep 20103 months5 months-23.93%
4Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-21.52%
5May 2011Aug 20114 monthsOct 20112 months6 months-19.35%
6Sep 2020Oct 20202 months-17.49%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-15.12%
8May 2019May 20191 monthJun 20191 month2 months-11.14%
9Jan 2010Jan 20101 monthMar 20102 months3 months-10.91%
10Aug 2016Oct 20163 monthsJan 20173 months6 months-9.07%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 months-38.17%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-32.16%
3Mar 2015Sep 20157 monthsJun 20169 months1 year 4 months-23.43%
4May 2010Jun 20102 monthsOct 20104 months6 months-23.33%
5May 2011Sep 20115 monthsJan 20124 months9 months-21.38%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-19.13%
7May 2019May 20191 monthJun 20191 month2 months-13.23%
8Apr 2012May 20122 monthsJul 20122 months4 months-11.13%
9Aug 2016Oct 20163 monthsJan 20173 months6 months-9.71%
10Aug 2013Aug 20131 monthOct 20132 months3 months-8.76%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
7Sep 2020Oct 20202 months-6.38%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTarget Volatility ModelBuy & Hold PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year41.85%91.05%-15.89%36.44%88.80%-22.32%13.99%32.18%-4.52%
3 years37.39%56.44%19.57%32.04%56.80%15.94%13.26%20.22%8.72%
5 years35.73%51.14%20.37%31.18%41.78%16.80%12.95%15.62%8.34%
7 years36.46%41.76%30.13%31.86%34.79%27.88%13.34%14.57%12.53%
10 years38.07%38.07%38.07%31.69%31.69%31.69%13.40%13.40%13.40%
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 PortfolioVanguard 500 Index Investor
1Jan 2010Aug 20112080.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
33.59%28.85%12.77%
2Sep 2011Sep 2011138.83% ProShares UltraPro S&P500 (UPRO)
61.17% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
12.95%-1.85%-7.04%
3Oct 2011Nov 2011280.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
33.15%12.08%10.65%
4Dec 2011Dec 2011179.71% ProShares UltraPro S&P500 (UPRO)
20.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
3.79%4.85%1.02%
5Jan 2012Aug 20154480.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
238.78%234.20%68.63%
6Sep 2015Sep 2015160.85% ProShares UltraPro S&P500 (UPRO)
39.15% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-5.18%-5.85%-2.49%
7Oct 2015Jun 2016980.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
33.11%32.02%11.03%
8Jul 2016Jul 2016177.21% ProShares UltraPro S&P500 (UPRO)
22.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
10.05%9.79%3.68%
9Aug 2016Feb 20181980.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.90%54.81%28.75%
10Mar 2018Mar 2018157.37% ProShares UltraPro S&P500 (UPRO)
42.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-2.87%-5.84%-2.56%
11Apr 2018Oct 2018780.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2.08%-0.10%3.70%
12Nov 2018Nov 2018174.78% ProShares UltraPro S&P500 (UPRO)
25.22% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
4.49%4.35%2.03%
13Dec 2018Dec 2018180.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-17.38%-19.33%-9.04%
14Jan 2019Jan 2019173.87% ProShares UltraPro S&P500 (UPRO)
26.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
17.87%19.20%8.00%
15Feb 2019Aug 2019780.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
34.95%31.07%9.49%
16Sep 2019Sep 2019177.03% ProShares UltraPro S&P500 (UPRO)
22.97% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2.09%2.07%1.86%
17Oct 2019Feb 2020580.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
4.28%6.79%-0.00%
18Mar 2020Mar 2020146.04% ProShares UltraPro S&P500 (UPRO)
53.96% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-11.04%-28.70%-12.37%
19Apr 2020Apr 2020122.42% ProShares UltraPro S&P500 (UPRO)
77.58% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
11.52%19.65%12.81%
20May 2020May 2020160.35% ProShares UltraPro S&P500 (UPRO)
39.65% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
9.53%4.72%4.76%
21Jun 2020Jun 2020180.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2.30%2.19%1.98%
22Jul 2020Jul 2020142.00% ProShares UltraPro S&P500 (UPRO)
58.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
16.06%15.95%5.63%
23Aug 2020Sep 2020280.00% ProShares UltraPro S&P500 (UPRO)
20.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
1.89%-0.45%3.09%
24Oct 2020Oct 2020176.45% ProShares UltraPro S&P500 (UPRO)
23.55% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
-8.91%-9.09%-2.67%
25Nov 2020Nov 20201Please sign-in for forward signals---
Timing model trades are executed at the close price of the first trading day of each month, and the assets held on the first trading day will differ from the assets held for the rest of the month.