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.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds 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 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 - Sep 2019)

Market timing results from 2010 to 2019 are based on adaptive allocation model holding the top 2 best performing assets. The model uses a single performance window of 1 calendar month(s). Volatility based risk adjustments are done based on daily volatility over the past 20 trading days. Inverse volatility weights based on the volatility window are used to set approximated risk parity asset weights for each timing period. Timing 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 - Sep 2019].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$166,21133.41%19.55%65.31%-3.23%-19.14% 1.562.860.40
Save timing model »
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The annual results for 2019 are based on full calendar months from January to September.
  • The results for the timing portfolio assume monthly rebalancing trades
  • The relative strength signal is based on total return including dividends
  • Additional trading costs and taxes for timing 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 (1-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 regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationTiming Portfolio ReturnTiming Portfolio BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
20101.50%51.40%$15,14036.34%16.20%
20112.96%65.31%$25,028-11.88%109.14%
20121.74%35.61%$33,94046.80%0.60%
20131.50%18.85%$40,336118.49%-39.01%
20140.76%63.26%$65,85338.00%97.34%
20150.73%-3.23%$63,724-5.24%-13.73%
20162.07%26.06%$80,33130.79%-2.52%
20172.11%48.64%$119,40271.37%22.73%
20181.91%-0.14%$119,231-25.15%-11.01%
20192.12%39.40%$166,21159.49%59.42%
Annual returns for 2019 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthTiming Portfolio ReturnTiming Portfolio BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
20101-3.35%$9,665-11.19%7.34%
201022.91%$9,9468.94%-1.82%
201034.47%$10,39118.90%-6.73%
201046.53%$11,0694.08%9.96%
20105-2.17%$10,829-24.15%16.54%
201062.53%$11,103-16.58%16.73%
201076.36%$11,81021.17%-3.90%
201089.06%$12,880-13.46%25.94%
2010911.57%$14,37027.94%-9.02%
2010101.23%$14,54711.44%-13.57%
201011-2.97%$14,115-0.82%-6.03%
2010127.26%$15,14021.36%-11.63%
201113.46%$15,6646.56%-9.40%
201127.85%$16,89310.39%4.49%
20113-0.68%$16,779-0.80%-0.55%
201147.55%$18,0458.73%6.57%
201152.32%$18,463-3.93%10.36%
20116-6.68%$17,230-5.87%-7.39%
201174.30%$17,972-6.39%13.28%
201182.74%$18,465-21.09%27.34%
2011915.09%$21,250-20.69%41.35%
2011109.41%$23,24932.61%-12.87%
2011110.82%$23,440-3.35%4.89%
2011126.78%$25,0282.30%9.46%
201216.33%$26,61213.90%-1.50%
201225.53%$28,08313.24%-7.95%
201231.09%$28,3899.29%-13.02%
201244.77%$29,743-2.38%14.37%
201255.49%$31,376-17.35%28.90%
201262.84%$32,26611.47%-5.78%
201277.97%$34,8373.52%11.43%
201280.41%$34,9816.53%-4.61%
201292.70%$35,9267.52%-7.87%
201210-4.36%$34,359-5.96%-2.13%
2012112.26%$35,1371.01%3.90%
201212-3.41%$33,9402.82%-7.80%
201313.14%$35,00615.39%-9.58%
201323.50%$36,2323.56%3.39%
201334.39%$37,82411.03%-1.77%
201349.16%$41,2895.45%14.25%
20135-7.08%$38,3676.80%-19.65%
20136-7.17%$35,618-5.23%-10.33%
201374.24%$37,12916.41%-7.41%
20138-7.77%$34,242-9.21%-4.47%
201396.14%$36,3459.60%1.53%
2013109.62%$39,84313.76%4.12%
201311-1.01%$39,4408.87%-8.19%
2013122.27%$40,3367.54%-6.01%
201414.38%$42,103-10.72%19.47%
201426.41%$44,80013.65%1.63%
201431.93%$45,6632.15%1.76%
201443.63%$47,3221.65%5.96%
201457.97%$51,0926.62%8.79%
201462.91%$52,5766.22%-1.00%
20147-2.18%$51,431-4.44%1.61%
2014813.19%$58,21511.95%14.42%
20149-5.47%$55,030-4.44%-6.65%
2014107.01%$58,8876.03%8.06%
2014118.83%$64,0868.34%9.08%
2014122.76%$65,853-1.54%9.38%
2015111.70%$73,560-9.47%31.01%
20152-0.12%$73,47517.48%-17.87%
20153-2.21%$71,850-5.28%2.57%
20154-3.60%$69,2612.59%-10.30%
20155-1.16%$68,4603.43%-7.91%
20156-8.50%$62,642-6.21%-12.49%
201578.94%$68,2446.17%13.40%
20158-11.70%$60,259-18.87%-2.75%
201590.19%$60,371-8.64%5.10%
20151010.95%$66,98426.79%-1.73%
201511-1.05%$66,2790.81%-2.71%
201512-3.85%$63,724-6.06%-2.41%
201612.42%$65,266-15.38%17.74%
201625.13%$68,612-1.68%8.71%
201639.11%$74,86321.50%-0.64%
20164-0.69%$74,3470.81%-2.39%
201653.28%$76,7864.65%1.86%
2016611.06%$85,278-0.20%21.23%
201678.33%$92,38311.13%6.07%
20168-1.19%$91,2840.11%-3.58%
20169-1.91%$89,540-0.54%-4.78%
201610-9.83%$80,740-5.62%-13.32%
201611-3.85%$77,62811.05%-23.91%
2016123.48%$80,3315.96%-0.99%
201713.57%$83,2005.14%1.49%
201729.40%$91,02511.91%4.41%
20173-0.85%$90,250-0.22%-2.35%
201743.46%$93,3722.77%4.43%
201754.32%$97,4023.70%5.17%
201761.75%$99,1091.51%1.98%
201772.27%$101,3545.87%-2.43%
201784.02%$105,4310.21%10.13%
20179-1.77%$103,5695.69%-7.29%
2017104.40%$108,1276.83%-0.53%
2017116.09%$114,7158.87%1.73%
2017124.09%$119,4023.45%5.04%
201819.04%$130,19418.22%-9.77%
20182-11.58%$115,122-13.53%-9.57%
201833.17%$118,766-8.69%8.44%
20184-4.74%$113,140-0.14%-6.71%
201855.71%$119,6066.46%5.27%
201861.38%$121,2581.29%1.49%
201873.23%$125,17110.73%-4.70%
201886.16%$132,8799.09%3.36%
20189-3.96%$127,6201.20%-8.77%
201810-15.81%$107,448-20.78%-9.11%
2018114.63%$112,4184.28%4.76%
2018126.06%$119,231-26.25%17.93%
201916.34%$126,79023.89%0.41%
20192-0.20%$126,5419.28%-4.52%
2019310.88%$140,3154.85%17.00%
201941.03%$141,75611.81%-6.56%
20195-2.75%$137,852-18.89%21.11%
201968.69%$149,83621.37%1.90%
201971.99%$152,8113.80%0.32%
2019812.28%$171,580-6.62%35.11%
20199-3.13%$166,2115.30%-9.07%
Portfolio return and risk metrics
MetricTiming Portfolio
Arithmetic Mean (monthly)2.59%
Arithmetic Mean (annualized)35.90%
Geometric Mean (monthly)2.43%
Geometric Mean (annualized)33.41%
Volatility (monthly)5.64%
Volatility (annualized)19.55%
Downside Deviation (monthly)3.07%
Max. Drawdown-19.14%
US Market Correlation0.40
Beta(*)0.60
Alpha (annualized)23.36%
R215.96%
Sharpe Ratio1.56
Sortino Ratio2.86
Treynor Ratio (%)50.85
Calmar Ratio1.20
Active Return20.75%
Tracking Error18.66%
Information Ratio1.11
Skewness-0.56
Excess Kurtosis0.47
Historical Value-at-Risk (5%)-7.85%
Analytical Value-at-Risk (5%)-6.69%
Conditional Value-at-Risk (5%)-11.48%
Upside Capture Ratio (%)131.65
Downside Capture Ratio (%)16.69
Safe Withdrawal Rate42.77%
Perpetual Withdrawal Rate25.41%
Positive Periods82 out of 117 (70.09%)
Gain/Loss Ratio1.30
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Oct 20182 monthsMar 20195 months7 months-19.14%
2Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-18.08%
3May 2013Aug 20134 monthsJan 20145 months9 months-17.07%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-15.97%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-13.10%
6Jun 2011Jun 20111 monthAug 20112 months3 months-6.68%
7Oct 2012Dec 20123 monthsFeb 20132 months5 months-5.53%
8Sep 2014Sep 20141 monthOct 20141 month2 months-5.47%
9Jan 2010Jan 20101 monthMar 20102 months3 months-3.35%
10Sep 2019Sep 20191 month-3.13%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodAverageHighLow
1 year33.97%65.31%-3.23%
3 years31.62%50.28%21.94%
5 years31.63%45.79%24.20%
7 years31.32%34.67%24.98%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming Portfolio
1Jan 2010Jan 2010142.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.70% ProShares UltraPro S&P500 (UPRO)
TMF: 7.34%
UPRO: -11.19%
-3.35%
2Feb 2010Feb 2010156.04% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
43.96% ProShares UltraPro S&P500 (UPRO)
TMF: -1.82%
UPRO: 8.94%
2.91%
3Mar 2010Mar 2010156.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
43.69% ProShares UltraPro S&P500 (UPRO)
TMF: -6.73%
UPRO: 18.90%
4.47%
4Apr 2010Apr 2010141.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
58.31% ProShares UltraPro S&P500 (UPRO)
TMF: 9.96%
UPRO: 4.08%
6.53%
5May 2010May 2010154.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.97% ProShares UltraPro S&P500 (UPRO)
TMF: 16.54%
UPRO: -24.15%
-2.17%
6Jun 2010Jun 2010157.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.63% ProShares UltraPro S&P500 (UPRO)
TMF: 16.73%
UPRO: -16.58%
2.53%
7Jul 2010Jul 2010159.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.92% ProShares UltraPro S&P500 (UPRO)
TMF: -3.90%
UPRO: 21.17%
6.36%
8Aug 2010Aug 2010157.16% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.84% ProShares UltraPro S&P500 (UPRO)
TMF: 25.94%
UPRO: -13.46%
9.06%
9Sep 2010Sep 2010144.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.71% ProShares UltraPro S&P500 (UPRO)
TMF: -9.02%
UPRO: 27.94%
11.57%
10Oct 2010Oct 2010140.82% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
59.18% ProShares UltraPro S&P500 (UPRO)
TMF: -13.57%
UPRO: 11.44%
1.23%
11Nov 2010Nov 2010141.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
58.80% ProShares UltraPro S&P500 (UPRO)
TMF: -6.03%
UPRO: -0.82%
-2.97%
12Dec 2010Dec 2010142.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.25% ProShares UltraPro S&P500 (UPRO)
TMF: -11.63%
UPRO: 21.36%
7.26%
13Jan 2011Jan 2011119.44% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
80.56% ProShares UltraPro S&P500 (UPRO)
TMF: -9.40%
UPRO: 6.56%
3.46%
14Feb 2011Feb 2011143.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.92% ProShares UltraPro S&P500 (UPRO)
TMF: 4.49%
UPRO: 10.39%
7.85%
15Mar 2011Mar 2011148.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.21% ProShares UltraPro S&P500 (UPRO)
TMF: -0.55%
UPRO: -0.80%
-0.68%
16Apr 2011Apr 2011154.70% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.30% ProShares UltraPro S&P500 (UPRO)
TMF: 6.57%
UPRO: 8.73%
7.55%
17May 2011May 2011143.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.27% ProShares UltraPro S&P500 (UPRO)
TMF: 10.36%
UPRO: -3.93%
2.32%
18Jun 2011Jun 2011152.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.21% ProShares UltraPro S&P500 (UPRO)
TMF: -7.39%
UPRO: -5.87%
-6.68%
19Jul 2011Jul 2011154.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.63% ProShares UltraPro S&P500 (UPRO)
TMF: 13.28%
UPRO: -6.39%
4.30%
20Aug 2011Aug 2011149.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.80% ProShares UltraPro S&P500 (UPRO)
TMF: 27.34%
UPRO: -21.09%
2.74%
21Sep 2011Sep 2011157.66% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.34% ProShares UltraPro S&P500 (UPRO)
TMF: 41.35%
UPRO: -20.69%
15.09%
22Oct 2011Oct 2011151.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.99% ProShares UltraPro S&P500 (UPRO)
TMF: -12.87%
UPRO: 32.61%
9.41%
23Nov 2011Nov 2011150.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.38% ProShares UltraPro S&P500 (UPRO)
TMF: 4.89%
UPRO: -3.35%
0.82%
24Dec 2011Dec 2011162.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
37.47% ProShares UltraPro S&P500 (UPRO)
TMF: 9.46%
UPRO: 2.30%
6.78%
25Jan 2012Jan 2012149.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.82% ProShares UltraPro S&P500 (UPRO)
TMF: -1.50%
UPRO: 13.90%
6.33%
26Feb 2012Feb 2012136.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
63.61% ProShares UltraPro S&P500 (UPRO)
TMF: -7.95%
UPRO: 13.24%
5.53%
27Mar 2012Mar 2012136.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
63.24% ProShares UltraPro S&P500 (UPRO)
TMF: -13.02%
UPRO: 9.29%
1.09%
28Apr 2012Apr 2012142.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.31% ProShares UltraPro S&P500 (UPRO)
TMF: 14.37%
UPRO: -2.38%
4.77%
29May 2012May 2012149.38% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.62% ProShares UltraPro S&P500 (UPRO)
TMF: 28.90%
UPRO: -17.35%
5.49%
30Jun 2012Jun 2012150.05% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.95% ProShares UltraPro S&P500 (UPRO)
TMF: -5.78%
UPRO: 11.47%
2.84%
31Jul 2012Jul 2012156.25% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
43.75% ProShares UltraPro S&P500 (UPRO)
TMF: 11.43%
UPRO: 3.52%
7.97%
32Aug 2012Aug 2012154.92% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.08% ProShares UltraPro S&P500 (UPRO)
TMF: -4.61%
UPRO: 6.53%
0.41%
33Sep 2012Sep 2012131.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
68.70% ProShares UltraPro S&P500 (UPRO)
TMF: -7.87%
UPRO: 7.52%
2.70%
34Oct 2012Oct 2012141.78% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
58.22% ProShares UltraPro S&P500 (UPRO)
TMF: -2.13%
UPRO: -5.96%
-4.36%
35Nov 2012Nov 2012143.27% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.73% ProShares UltraPro S&P500 (UPRO)
TMF: 3.90%
UPRO: 1.01%
2.26%
36Dec 2012Dec 2012158.60% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.40% ProShares UltraPro S&P500 (UPRO)
TMF: -7.80%
UPRO: 2.82%
-3.41%
37Jan 2013Jan 2013149.05% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.95% ProShares UltraPro S&P500 (UPRO)
TMF: -9.58%
UPRO: 15.39%
3.14%
38Feb 2013Feb 2013135.55% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
64.45% ProShares UltraPro S&P500 (UPRO)
TMF: 3.39%
UPRO: 3.56%
3.50%
39Mar 2013Mar 2013151.86% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.14% ProShares UltraPro S&P500 (UPRO)
TMF: -1.77%
UPRO: 11.03%
4.39%
40Apr 2013Apr 2013142.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.81% ProShares UltraPro S&P500 (UPRO)
TMF: 14.25%
UPRO: 5.45%
9.16%
41May 2013May 2013152.48% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.52% ProShares UltraPro S&P500 (UPRO)
TMF: -19.65%
UPRO: 6.80%
-7.08%
42Jun 2013Jun 2013137.97% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
62.03% ProShares UltraPro S&P500 (UPRO)
TMF: -10.33%
UPRO: -5.23%
-7.17%
43Jul 2013Jul 2013151.09% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.91% ProShares UltraPro S&P500 (UPRO)
TMF: -7.41%
UPRO: 16.41%
4.24%
44Aug 2013Aug 2013130.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
69.65% ProShares UltraPro S&P500 (UPRO)
TMF: -4.47%
UPRO: -9.21%
-7.77%
45Sep 2013Sep 2013142.86% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.14% ProShares UltraPro S&P500 (UPRO)
TMF: 1.53%
UPRO: 9.60%
6.14%
46Oct 2013Oct 2013142.91% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.09% ProShares UltraPro S&P500 (UPRO)
TMF: 4.12%
UPRO: 13.76%
9.62%
47Nov 2013Nov 2013157.93% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.07% ProShares UltraPro S&P500 (UPRO)
TMF: -8.19%
UPRO: 8.87%
-1.01%
48Dec 2013Dec 2013138.84% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.16% ProShares UltraPro S&P500 (UPRO)
TMF: -6.01%
UPRO: 7.54%
2.27%
49Jan 2014Jan 2014150.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.99% ProShares UltraPro S&P500 (UPRO)
TMF: 19.47%
UPRO: -10.72%
4.38%
50Feb 2014Feb 2014160.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
39.71% ProShares UltraPro S&P500 (UPRO)
TMF: 1.63%
UPRO: 13.65%
6.41%
51Mar 2014Mar 2014157.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
43.00% ProShares UltraPro S&P500 (UPRO)
TMF: 1.76%
UPRO: 2.15%
1.93%
52Apr 2014Apr 2014146.02% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
53.98% ProShares UltraPro S&P500 (UPRO)
TMF: 5.96%
UPRO: 1.65%
3.63%
53May 2014May 2014161.81% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
38.19% ProShares UltraPro S&P500 (UPRO)
TMF: 8.79%
UPRO: 6.62%
7.97%
54Jun 2014Jun 2014145.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
54.06% ProShares UltraPro S&P500 (UPRO)
TMF: -1.00%
UPRO: 6.22%
2.91%
55Jul 2014Jul 2014137.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
62.61% ProShares UltraPro S&P500 (UPRO)
TMF: 1.61%
UPRO: -4.44%
-2.18%
56Aug 2014Aug 2014150.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.97% ProShares UltraPro S&P500 (UPRO)
TMF: 14.42%
UPRO: 11.95%
13.19%
57Sep 2014Sep 2014146.85% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
53.15% ProShares UltraPro S&P500 (UPRO)
TMF: -6.65%
UPRO: -4.44%
-5.47%
58Oct 2014Oct 2014148.11% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.89% ProShares UltraPro S&P500 (UPRO)
TMF: 8.06%
UPRO: 6.03%
7.01%
59Nov 2014Nov 2014165.87% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
34.13% ProShares UltraPro S&P500 (UPRO)
TMF: 9.08%
UPRO: 8.34%
8.83%
60Dec 2014Dec 2014139.32% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
60.68% ProShares UltraPro S&P500 (UPRO)
TMF: 9.38%
UPRO: -1.54%
2.76%
61Jan 2015Jan 2015152.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.69% ProShares UltraPro S&P500 (UPRO)
TMF: 31.01%
UPRO: -9.47%
11.70%
62Feb 2015Feb 2015149.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.21% ProShares UltraPro S&P500 (UPRO)
TMF: -17.87%
UPRO: 17.48%
-0.12%
63Mar 2015Mar 2015139.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
60.92% ProShares UltraPro S&P500 (UPRO)
TMF: 2.57%
UPRO: -5.28%
-2.21%
64Apr 2015Apr 2015148.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.94% ProShares UltraPro S&P500 (UPRO)
TMF: -10.30%
UPRO: 2.59%
-3.60%
65May 2015May 2015140.45% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
59.55% ProShares UltraPro S&P500 (UPRO)
TMF: -7.91%
UPRO: 3.43%
-1.16%
66Jun 2015Jun 2015136.44% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
63.56% ProShares UltraPro S&P500 (UPRO)
TMF: -12.49%
UPRO: -6.21%
-8.50%
67Jul 2015Jul 2015138.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.70% ProShares UltraPro S&P500 (UPRO)
TMF: 13.40%
UPRO: 6.17%
8.94%
68Aug 2015Aug 2015144.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.54% ProShares UltraPro S&P500 (UPRO)
TMF: -2.75%
UPRO: -18.87%
-11.70%
69Sep 2015Sep 2015164.23% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
35.77% ProShares UltraPro S&P500 (UPRO)
TMF: 5.10%
UPRO: -8.64%
0.19%
70Oct 2015Oct 2015155.52% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.48% ProShares UltraPro S&P500 (UPRO)
TMF: -1.73%
UPRO: 26.79%
10.95%
71Nov 2015Nov 2015152.98% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.02% ProShares UltraPro S&P500 (UPRO)
TMF: -2.71%
UPRO: 0.81%
-1.05%
72Dec 2015Dec 2015160.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
39.65% ProShares UltraPro S&P500 (UPRO)
TMF: -2.41%
UPRO: -6.06%
-3.85%
73Jan 2016Jan 2016153.74% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
46.26% ProShares UltraPro S&P500 (UPRO)
TMF: 17.74%
UPRO: -15.38%
2.42%
74Feb 2016Feb 2016165.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
34.47% ProShares UltraPro S&P500 (UPRO)
TMF: 8.71%
UPRO: -1.68%
5.13%
75Mar 2016Mar 2016155.95% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.05% ProShares UltraPro S&P500 (UPRO)
TMF: -0.64%
UPRO: 21.50%
9.11%
76Apr 2016Apr 2016146.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
53.25% ProShares UltraPro S&P500 (UPRO)
TMF: -2.39%
UPRO: 0.81%
-0.69%
77May 2016May 2016149.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.93% ProShares UltraPro S&P500 (UPRO)
TMF: 1.86%
UPRO: 4.65%
3.28%
78Jun 2016Jun 2016152.56% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.44% ProShares UltraPro S&P500 (UPRO)
TMF: 21.23%
UPRO: -0.20%
11.06%
79Jul 2016Jul 2016155.38% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.62% ProShares UltraPro S&P500 (UPRO)
TMF: 6.07%
UPRO: 11.13%
8.33%
80Aug 2016Aug 2016135.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
64.82% ProShares UltraPro S&P500 (UPRO)
TMF: -3.58%
UPRO: 0.11%
-1.19%
81Sep 2016Sep 2016132.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
67.59% ProShares UltraPro S&P500 (UPRO)
TMF: -4.78%
UPRO: -0.54%
-1.91%
82Oct 2016Oct 2016154.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.37% ProShares UltraPro S&P500 (UPRO)
TMF: -13.32%
UPRO: -5.62%
-9.83%
83Nov 2016Nov 2016142.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.36% ProShares UltraPro S&P500 (UPRO)
TMF: -23.91%
UPRO: 11.05%
-3.85%
84Dec 2016Dec 2016135.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
64.33% ProShares UltraPro S&P500 (UPRO)
TMF: -0.99%
UPRO: 5.96%
3.48%
85Jan 2017Jan 2017142.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.06% ProShares UltraPro S&P500 (UPRO)
TMF: 1.49%
UPRO: 5.14%
3.57%
86Feb 2017Feb 2017133.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
66.59% ProShares UltraPro S&P500 (UPRO)
TMF: 4.41%
UPRO: 11.91%
9.40%
87Mar 2017Mar 2017129.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
70.27% ProShares UltraPro S&P500 (UPRO)
TMF: -2.35%
UPRO: -0.22%
-0.85%
88Apr 2017Apr 2017141.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
58.60% ProShares UltraPro S&P500 (UPRO)
TMF: 4.43%
UPRO: 2.77%
3.46%
89May 2017May 2017142.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.93% ProShares UltraPro S&P500 (UPRO)
TMF: 5.17%
UPRO: 3.70%
4.32%
90Jun 2017Jun 2017151.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.99% ProShares UltraPro S&P500 (UPRO)
TMF: 1.98%
UPRO: 1.51%
1.75%
91Jul 2017Jul 2017143.43% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.57% ProShares UltraPro S&P500 (UPRO)
TMF: -2.43%
UPRO: 5.87%
2.27%
92Aug 2017Aug 2017138.45% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.55% ProShares UltraPro S&P500 (UPRO)
TMF: 10.13%
UPRO: 0.21%
4.02%
93Sep 2017Sep 2017157.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.54% ProShares UltraPro S&P500 (UPRO)
TMF: -7.29%
UPRO: 5.69%
-1.77%
94Oct 2017Oct 2017133.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
66.94% ProShares UltraPro S&P500 (UPRO)
TMF: -0.53%
UPRO: 6.83%
4.40%
95Nov 2017Nov 2017138.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.06% ProShares UltraPro S&P500 (UPRO)
TMF: 1.73%
UPRO: 8.87%
6.09%
96Dec 2017Dec 2017139.80% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
60.20% ProShares UltraPro S&P500 (UPRO)
TMF: 5.04%
UPRO: 3.45%
4.09%
97Jan 2018Jan 2018132.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
67.21% ProShares UltraPro S&P500 (UPRO)
TMF: -9.77%
UPRO: 18.22%
9.04%
98Feb 2018Feb 2018149.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.60% ProShares UltraPro S&P500 (UPRO)
TMF: -9.57%
UPRO: -13.53%
-11.58%
99Mar 2018Mar 2018169.21% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
30.79% ProShares UltraPro S&P500 (UPRO)
TMF: 8.44%
UPRO: -8.69%
3.17%
100Apr 2018Apr 2018170.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
30.00% ProShares UltraPro S&P500 (UPRO)
TMF: -6.71%
UPRO: -0.14%
-4.74%
101May 2018May 2018162.72% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
37.28% ProShares UltraPro S&P500 (UPRO)
TMF: 5.27%
UPRO: 6.46%
5.71%
102Jun 2018Jun 2018147.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
52.81% ProShares UltraPro S&P500 (UPRO)
TMF: 1.49%
UPRO: 1.29%
1.38%
103Jul 2018Jul 2018148.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.37% ProShares UltraPro S&P500 (UPRO)
TMF: -4.70%
UPRO: 10.73%
3.23%
104Aug 2018Aug 2018151.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.81% ProShares UltraPro S&P500 (UPRO)
TMF: 3.36%
UPRO: 9.09%
6.16%
105Sep 2018Sep 2018151.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.27% ProShares UltraPro S&P500 (UPRO)
TMF: -8.77%
UPRO: 1.20%
-3.96%
106Oct 2018Oct 2018142.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.38% ProShares UltraPro S&P500 (UPRO)
TMF: -9.11%
UPRO: -20.78%
-15.81%
107Nov 2018Nov 2018172.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
27.60% ProShares UltraPro S&P500 (UPRO)
TMF: 4.76%
UPRO: 4.28%
4.63%
108Dec 2018Dec 2018173.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
26.87% ProShares UltraPro S&P500 (UPRO)
TMF: 17.93%
UPRO: -26.25%
6.06%
109Jan 2019Jan 2019174.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
25.24% ProShares UltraPro S&P500 (UPRO)
TMF: 0.41%
UPRO: 23.89%
6.34%
110Feb 2019Feb 2019168.65% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
31.35% ProShares UltraPro S&P500 (UPRO)
TMF: -4.52%
UPRO: 9.28%
-0.20%
111Mar 2019Mar 2019149.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.33% ProShares UltraPro S&P500 (UPRO)
TMF: 17.00%
UPRO: 4.85%
10.88%
112Apr 2019Apr 2019158.70% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.30% ProShares UltraPro S&P500 (UPRO)
TMF: -6.56%
UPRO: 11.81%
1.03%
113May 2019May 2019140.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
59.65% ProShares UltraPro S&P500 (UPRO)
TMF: 21.11%
UPRO: -18.89%
-2.75%
114Jun 2019Jun 2019165.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
34.87% ProShares UltraPro S&P500 (UPRO)
TMF: 1.90%
UPRO: 21.37%
8.69%
115Jul 2019Jul 2019152.22% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.78% ProShares UltraPro S&P500 (UPRO)
TMF: 0.32%
UPRO: 3.80%
1.99%
116Aug 2019Aug 2019145.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
54.70% ProShares UltraPro S&P500 (UPRO)
TMF: 35.11%
UPRO: -6.62%
12.28%
117Sep 2019Sep 2019158.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.36% ProShares UltraPro S&P500 (UPRO)
TMF: -9.07%
UPRO: 5.30%
-3.13%
118Oct 2019Oct 2019133.36% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
66.64% ProShares UltraPro S&P500 (UPRO)
--
Next Period
Signal DateAssetsDetails
10/22/201952.66% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.34% ProShares UltraPro S&P500 (UPRO)
Next period predicted allocation based on market data as of 10/22/2019.
UPRO performance over 1-month window is -0.18%.
UPRO annualized volatility over 20-day volatility window is 41.88%.
TMF performance over 1-month window is -5.59%.
TMF annualized volatility over 20-day volatility window is 37.65%.