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:

Shiller PE Ratio Market Valuation
Moving Averages - Single Asset
Moving Averages - Portfolio Assets
Momentum - Relative Strength
Momentum - Dual Momentum
Momentum - Adaptive Allocation
Target Volatility

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.

Timing Model

Start Year

End Year

Initial Amount

$ .00

Periodic Adjustment

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Ticker

Tickers

Single absolute momentum

Absolute momentum asset

Target Volatility

Use Downside Volatility

Out of Market Asset

Specify out of market asset

Buy Signal

Type of Moving Average

Performance Periods

Period Weighting

Timing Period

Timing period in trading days

Type of Moving Average #2

Timing Period #2

Timing period #2 in trading days

Exclude Previous Month

Normalize Returns

Volatility Period

Volatility window in trading days

Assets to hold

Allocation Weights

Risk Control

Risk Window Period

Risk window in trading days

Trading Frequency

Signal Asset

Specify signal asset

Trade Execution

Compared Allocation

Benchmark

Benchmark Ticker

Timing Periods

Length

Unit

Weight

Time Period #1

Period 1 length

Period 1 time unit

Period 1 weight %

Time Period #2

Period 2 length

Period 2 time unit

Period 2 weight %

Time Period #3

Period 3 length

Period 3 time unit

Period 3 weight %

Time Period #4

Period 4 length

Period 4 time unit

Period 4 weight %

Time Period #5

Period 5 length

Period 5 time unit

Period 5 weight %

Volatility Period

Volatility period length

Volatility period time unit

Volatility period weight %

Asset 1

Select asset 1

Enter percentage allocation for asset 1 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 %

Total

Total allocation for portfolio %

Market Timing Results (Jan 2010 - Nov 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 - Nov 2019].

Performance statistics for the timing portfolio and benchmark portfolios
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Timing Portfolio	$10,000	$178,820	33.75%	19.40%	65.31%	-3.23%	-19.14%	1.59	2.90	0.40
Save timing model »

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 2019 are based on full calendar months from January to November.
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 section regarding the data sources and methodology descriptions

Annual returns for the timing portfolio and various benchmark portfolios
Year	Inflation	Timing Portfolio Return	Timing Portfolio Balance	ProShares UltraPro S&P500 (UPRO)	Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2010	1.50%	51.40%	$15,140	36.34%	16.20%
2011	2.96%	65.31%	$25,028	-11.88%	109.14%
2012	1.74%	35.61%	$33,940	46.80%	0.60%
2013	1.50%	18.85%	$40,336	118.49%	-39.01%
2014	0.76%	63.26%	$65,853	38.00%	97.34%
2015	0.73%	-3.23%	$63,724	-5.24%	-13.73%
2016	2.07%	26.06%	$80,331	30.79%	-2.52%
2017	2.11%	48.64%	$119,402	71.37%	22.73%
2018	1.91%	-0.14%	$119,231	-25.15%	-11.01%
2019	2.43%	49.98%	$178,820	86.67%	49.79%
Annual returns for 2019 are based on partial year data

Monthly returns for the timing portfolio and various benchmark portfolios
Year	Month	Timing Portfolio Return	Timing Portfolio Balance	ProShares UltraPro S&P500 (UPRO)	Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2010	1	-3.35%	$9,665	-11.19%	7.34%
2010	2	2.91%	$9,946	8.94%	-1.82%
2010	3	4.47%	$10,391	18.90%	-6.73%
2010	4	6.53%	$11,069	4.08%	9.96%
2010	5	-2.17%	$10,829	-24.15%	16.54%
2010	6	2.53%	$11,103	-16.58%	16.73%
2010	7	6.36%	$11,810	21.17%	-3.90%
2010	8	9.06%	$12,880	-13.46%	25.94%
2010	9	11.57%	$14,370	27.94%	-9.02%
2010	10	1.23%	$14,547	11.44%	-13.57%
2010	11	-2.97%	$14,115	-0.82%	-6.03%
2010	12	7.26%	$15,140	21.36%	-11.63%
2011	1	3.46%	$15,664	6.56%	-9.40%
2011	2	7.85%	$16,893	10.39%	4.49%
2011	3	-0.68%	$16,779	-0.80%	-0.55%
2011	4	7.55%	$18,045	8.73%	6.57%
2011	5	2.32%	$18,463	-3.93%	10.36%
2011	6	-6.68%	$17,230	-5.87%	-7.39%
2011	7	4.30%	$17,972	-6.39%	13.28%
2011	8	2.74%	$18,465	-21.09%	27.34%
2011	9	15.09%	$21,250	-20.69%	41.35%
2011	10	9.41%	$23,249	32.61%	-12.87%
2011	11	0.82%	$23,440	-3.35%	4.89%
2011	12	6.78%	$25,028	2.30%	9.46%
2012	1	6.33%	$26,612	13.90%	-1.50%
2012	2	5.53%	$28,083	13.24%	-7.95%
2012	3	1.09%	$28,389	9.29%	-13.02%
2012	4	4.77%	$29,743	-2.38%	14.37%
2012	5	5.49%	$31,376	-17.35%	28.90%
2012	6	2.84%	$32,266	11.47%	-5.78%
2012	7	7.97%	$34,837	3.52%	11.43%
2012	8	0.41%	$34,981	6.53%	-4.61%
2012	9	2.70%	$35,926	7.52%	-7.87%
2012	10	-4.36%	$34,359	-5.96%	-2.13%
2012	11	2.26%	$35,137	1.01%	3.90%
2012	12	-3.41%	$33,940	2.82%	-7.80%
2013	1	3.14%	$35,006	15.39%	-9.58%
2013	2	3.50%	$36,232	3.56%	3.39%
2013	3	4.39%	$37,824	11.03%	-1.77%
2013	4	9.16%	$41,289	5.45%	14.25%
2013	5	-7.08%	$38,367	6.80%	-19.65%
2013	6	-7.17%	$35,618	-5.23%	-10.33%
2013	7	4.24%	$37,129	16.41%	-7.41%
2013	8	-7.77%	$34,242	-9.21%	-4.47%
2013	9	6.14%	$36,345	9.60%	1.53%
2013	10	9.62%	$39,843	13.76%	4.12%
2013	11	-1.01%	$39,440	8.87%	-8.19%
2013	12	2.27%	$40,336	7.54%	-6.01%
2014	1	4.38%	$42,103	-10.72%	19.47%
2014	2	6.41%	$44,800	13.65%	1.63%
2014	3	1.93%	$45,663	2.15%	1.76%
2014	4	3.63%	$47,322	1.65%	5.96%
2014	5	7.97%	$51,092	6.62%	8.79%
2014	6	2.91%	$52,576	6.22%	-1.00%
2014	7	-2.18%	$51,431	-4.44%	1.61%
2014	8	13.19%	$58,215	11.95%	14.42%
2014	9	-5.47%	$55,030	-4.44%	-6.65%
2014	10	7.01%	$58,887	6.03%	8.06%
2014	11	8.83%	$64,086	8.34%	9.08%
2014	12	2.76%	$65,853	-1.54%	9.38%
2015	1	11.70%	$73,560	-9.47%	31.01%
2015	2	-0.12%	$73,475	17.48%	-17.87%
2015	3	-2.21%	$71,850	-5.28%	2.57%
2015	4	-3.60%	$69,261	2.59%	-10.30%
2015	5	-1.16%	$68,460	3.43%	-7.91%
2015	6	-8.50%	$62,642	-6.21%	-12.49%
2015	7	8.94%	$68,244	6.17%	13.40%
2015	8	-11.70%	$60,259	-18.87%	-2.75%
2015	9	0.19%	$60,371	-8.64%	5.10%
2015	10	10.95%	$66,984	26.79%	-1.73%
2015	11	-1.05%	$66,279	0.81%	-2.71%
2015	12	-3.85%	$63,724	-6.06%	-2.41%
2016	1	2.42%	$65,266	-15.38%	17.74%
2016	2	5.13%	$68,612	-1.68%	8.71%
2016	3	9.11%	$74,863	21.50%	-0.64%
2016	4	-0.69%	$74,347	0.81%	-2.39%
2016	5	3.28%	$76,786	4.65%	1.86%
2016	6	11.06%	$85,278	-0.20%	21.23%
2016	7	8.33%	$92,383	11.13%	6.07%
2016	8	-1.19%	$91,284	0.11%	-3.58%
2016	9	-1.91%	$89,540	-0.54%	-4.78%
2016	10	-9.83%	$80,740	-5.62%	-13.32%
2016	11	-3.85%	$77,628	11.05%	-23.91%
2016	12	3.48%	$80,331	5.96%	-0.99%
2017	1	3.57%	$83,200	5.14%	1.49%
2017	2	9.40%	$91,025	11.91%	4.41%
2017	3	-0.85%	$90,250	-0.22%	-2.35%
2017	4	3.46%	$93,372	2.77%	4.43%
2017	5	4.32%	$97,402	3.70%	5.17%
2017	6	1.75%	$99,109	1.51%	1.98%
2017	7	2.27%	$101,354	5.87%	-2.43%
2017	8	4.02%	$105,431	0.21%	10.13%
2017	9	-1.77%	$103,569	5.69%	-7.29%
2017	10	4.40%	$108,127	6.83%	-0.53%
2017	11	6.09%	$114,715	8.87%	1.73%
2017	12	4.09%	$119,402	3.45%	5.04%
2018	1	9.04%	$130,194	18.22%	-9.77%
2018	2	-11.58%	$115,122	-13.53%	-9.57%
2018	3	3.17%	$118,766	-8.69%	8.44%
2018	4	-4.74%	$113,140	-0.14%	-6.71%
2018	5	5.71%	$119,606	6.46%	5.27%
2018	6	1.38%	$121,258	1.29%	1.49%
2018	7	3.23%	$125,171	10.73%	-4.70%
2018	8	6.16%	$132,879	9.09%	3.36%
2018	9	-3.96%	$127,620	1.20%	-8.77%
2018	10	-15.81%	$107,448	-20.78%	-9.11%
2018	11	4.63%	$112,418	4.28%	4.76%
2018	12	6.06%	$119,231	-26.25%	17.93%
2019	1	6.34%	$126,790	23.89%	0.41%
2019	2	-0.20%	$126,541	9.28%	-4.52%
2019	3	10.88%	$140,315	4.85%	17.00%
2019	4	1.03%	$141,756	11.81%	-6.56%
2019	5	-2.75%	$137,852	-18.89%	21.11%
2019	6	8.69%	$149,836	21.37%	1.90%
2019	7	1.99%	$152,811	3.80%	0.32%
2019	8	12.28%	$171,580	-6.62%	35.11%
2019	9	-3.13%	$166,211	5.30%	-9.07%
2019	10	2.43%	$170,243	5.70%	-4.11%
2019	11	5.04%	$178,820	10.73%	-2.01%

Portfolio return and risk metrics
Metric	Timing Portfolio
Arithmetic Mean (monthly)	2.61%
Arithmetic Mean (annualized)	36.20%
Geometric Mean (monthly)	2.45%
Geometric Mean (annualized)	33.75%
Volatility (monthly)	5.60%
Volatility (annualized)	19.40%
Downside Deviation (monthly)	3.04%
Max. Drawdown	-19.14%
US Market Correlation	0.40
Beta^(*)	0.60
Alpha (annualized)	23.35%
R²	16.06%
Sharpe Ratio	1.59
Sortino Ratio	2.90
Treynor Ratio (%)	51.11
Calmar Ratio	1.68
Active Return	20.66%
Tracking Error	18.50%
Information Ratio	1.12
Skewness	-0.57
Excess Kurtosis	0.53
Historical Value-at-Risk (5%)	-7.77%
Analytical Value-at-Risk (5%)	-6.60%
Conditional Value-at-Risk (5%)	-11.48%
Upside Capture Ratio (%)	131.66
Downside Capture Ratio (%)	16.67
Safe Withdrawal Rate	42.77%
Perpetual Withdrawal Rate	25.99%
Positive Periods	84 out of 119 (70.59%)
Gain/Loss Ratio	1.29
^* 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)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2018	Oct 2018	2 months	Mar 2019	5 months	7 months	-19.14%
2	Feb 2015	Aug 2015	7 months	Mar 2016	7 months	1 year 2 months	-18.08%
3	May 2013	Aug 2013	4 months	Jan 2014	5 months	9 months	-17.07%
4	Aug 2016	Nov 2016	4 months	Apr 2017	5 months	9 months	-15.97%
5	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-13.10%
6	Jun 2011	Jun 2011	1 month	Aug 2011	2 months	3 months	-6.68%
7	Oct 2012	Dec 2012	3 months	Feb 2013	2 months	5 months	-5.53%
8	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-5.47%
9	Jan 2010	Jan 2010	1 month	Mar 2010	2 months	3 months	-3.35%
10	Sep 2019	Sep 2019	1 month	Nov 2019	2 months	3 months	-3.13%
Worst 10 drawdowns included above

Rolling returns summary
Roll Period	Average	High	Low
1 year	33.97%	65.31%	-3.23%
3 years	31.62%	50.28%	21.94%
5 years	31.63%	45.79%	24.20%
7 years	31.32%	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
#	Start	End	Months	Assets	Asset Performance	Timing Portfolio
1	Jan 2010	Jan 2010	1	42.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.70% ProShares UltraPro S&P500 (UPRO)	TMF: 7.34% UPRO: -11.19%	-3.35%
2	Feb 2010	Feb 2010	1	56.04% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 43.96% ProShares UltraPro S&P500 (UPRO)	TMF: -1.82% UPRO: 8.94%	2.91%
3	Mar 2010	Mar 2010	1	56.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 43.69% ProShares UltraPro S&P500 (UPRO)	TMF: -6.73% UPRO: 18.90%	4.47%
4	Apr 2010	Apr 2010	1	41.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 58.31% ProShares UltraPro S&P500 (UPRO)	TMF: 9.96% UPRO: 4.08%	6.53%
5	May 2010	May 2010	1	54.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.97% ProShares UltraPro S&P500 (UPRO)	TMF: 16.54% UPRO: -24.15%	-2.17%
6	Jun 2010	Jun 2010	1	57.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.63% ProShares UltraPro S&P500 (UPRO)	TMF: 16.73% UPRO: -16.58%	2.53%
7	Jul 2010	Jul 2010	1	59.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 40.92% ProShares UltraPro S&P500 (UPRO)	TMF: -3.90% UPRO: 21.17%	6.36%
8	Aug 2010	Aug 2010	1	57.16% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.84% ProShares UltraPro S&P500 (UPRO)	TMF: 25.94% UPRO: -13.46%	9.06%
9	Sep 2010	Sep 2010	1	44.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 55.71% ProShares UltraPro S&P500 (UPRO)	TMF: -9.02% UPRO: 27.94%	11.57%
10	Oct 2010	Oct 2010	1	40.82% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 59.18% ProShares UltraPro S&P500 (UPRO)	TMF: -13.57% UPRO: 11.44%	1.23%
11	Nov 2010	Nov 2010	1	41.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 58.80% ProShares UltraPro S&P500 (UPRO)	TMF: -6.03% UPRO: -0.82%	-2.97%
12	Dec 2010	Dec 2010	1	42.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.25% ProShares UltraPro S&P500 (UPRO)	TMF: -11.63% UPRO: 21.36%	7.26%
13	Jan 2011	Jan 2011	1	19.44% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 80.56% ProShares UltraPro S&P500 (UPRO)	TMF: -9.40% UPRO: 6.56%	3.46%
14	Feb 2011	Feb 2011	1	43.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.92% ProShares UltraPro S&P500 (UPRO)	TMF: 4.49% UPRO: 10.39%	7.85%
15	Mar 2011	Mar 2011	1	48.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 51.21% ProShares UltraPro S&P500 (UPRO)	TMF: -0.55% UPRO: -0.80%	-0.68%
16	Apr 2011	Apr 2011	1	54.70% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.30% ProShares UltraPro S&P500 (UPRO)	TMF: 6.57% UPRO: 8.73%	7.55%
17	May 2011	May 2011	1	43.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.27% ProShares UltraPro S&P500 (UPRO)	TMF: 10.36% UPRO: -3.93%	2.32%
18	Jun 2011	Jun 2011	1	52.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.21% ProShares UltraPro S&P500 (UPRO)	TMF: -7.39% UPRO: -5.87%	-6.68%
19	Jul 2011	Jul 2011	1	54.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.63% ProShares UltraPro S&P500 (UPRO)	TMF: 13.28% UPRO: -6.39%	4.30%
20	Aug 2011	Aug 2011	1	49.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.80% ProShares UltraPro S&P500 (UPRO)	TMF: 27.34% UPRO: -21.09%	2.74%
21	Sep 2011	Sep 2011	1	57.66% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.34% ProShares UltraPro S&P500 (UPRO)	TMF: 41.35% UPRO: -20.69%	15.09%
22	Oct 2011	Oct 2011	1	51.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.99% ProShares UltraPro S&P500 (UPRO)	TMF: -12.87% UPRO: 32.61%	9.41%
23	Nov 2011	Nov 2011	1	50.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 49.38% ProShares UltraPro S&P500 (UPRO)	TMF: 4.89% UPRO: -3.35%	0.82%
24	Dec 2011	Dec 2011	1	62.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 37.47% ProShares UltraPro S&P500 (UPRO)	TMF: 9.46% UPRO: 2.30%	6.78%
25	Jan 2012	Jan 2012	1	49.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.82% ProShares UltraPro S&P500 (UPRO)	TMF: -1.50% UPRO: 13.90%	6.33%
26	Feb 2012	Feb 2012	1	36.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 63.61% ProShares UltraPro S&P500 (UPRO)	TMF: -7.95% UPRO: 13.24%	5.53%
27	Mar 2012	Mar 2012	1	36.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 63.24% ProShares UltraPro S&P500 (UPRO)	TMF: -13.02% UPRO: 9.29%	1.09%
28	Apr 2012	Apr 2012	1	42.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.31% ProShares UltraPro S&P500 (UPRO)	TMF: 14.37% UPRO: -2.38%	4.77%
29	May 2012	May 2012	1	49.38% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.62% ProShares UltraPro S&P500 (UPRO)	TMF: 28.90% UPRO: -17.35%	5.49%
30	Jun 2012	Jun 2012	1	50.05% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 49.95% ProShares UltraPro S&P500 (UPRO)	TMF: -5.78% UPRO: 11.47%	2.84%
31	Jul 2012	Jul 2012	1	56.25% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 43.75% ProShares UltraPro S&P500 (UPRO)	TMF: 11.43% UPRO: 3.52%	7.97%
32	Aug 2012	Aug 2012	1	54.92% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.08% ProShares UltraPro S&P500 (UPRO)	TMF: -4.61% UPRO: 6.53%	0.41%
33	Sep 2012	Sep 2012	1	31.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 68.70% ProShares UltraPro S&P500 (UPRO)	TMF: -7.87% UPRO: 7.52%	2.70%
34	Oct 2012	Oct 2012	1	41.78% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 58.22% ProShares UltraPro S&P500 (UPRO)	TMF: -2.13% UPRO: -5.96%	-4.36%
35	Nov 2012	Nov 2012	1	43.27% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.73% ProShares UltraPro S&P500 (UPRO)	TMF: 3.90% UPRO: 1.01%	2.26%
36	Dec 2012	Dec 2012	1	58.60% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 41.40% ProShares UltraPro S&P500 (UPRO)	TMF: -7.80% UPRO: 2.82%	-3.41%
37	Jan 2013	Jan 2013	1	49.05% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.95% ProShares UltraPro S&P500 (UPRO)	TMF: -9.58% UPRO: 15.39%	3.14%
38	Feb 2013	Feb 2013	1	35.55% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 64.45% ProShares UltraPro S&P500 (UPRO)	TMF: 3.39% UPRO: 3.56%	3.50%
39	Mar 2013	Mar 2013	1	51.86% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.14% ProShares UltraPro S&P500 (UPRO)	TMF: -1.77% UPRO: 11.03%	4.39%
40	Apr 2013	Apr 2013	1	42.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.81% ProShares UltraPro S&P500 (UPRO)	TMF: 14.25% UPRO: 5.45%	9.16%
41	May 2013	May 2013	1	52.48% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.52% ProShares UltraPro S&P500 (UPRO)	TMF: -19.65% UPRO: 6.80%	-7.08%
42	Jun 2013	Jun 2013	1	37.97% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 62.03% ProShares UltraPro S&P500 (UPRO)	TMF: -10.33% UPRO: -5.23%	-7.17%
43	Jul 2013	Jul 2013	1	51.09% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.91% ProShares UltraPro S&P500 (UPRO)	TMF: -7.41% UPRO: 16.41%	4.24%
44	Aug 2013	Aug 2013	1	30.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 69.65% ProShares UltraPro S&P500 (UPRO)	TMF: -4.47% UPRO: -9.21%	-7.77%
45	Sep 2013	Sep 2013	1	42.86% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.14% ProShares UltraPro S&P500 (UPRO)	TMF: 1.53% UPRO: 9.60%	6.14%
46	Oct 2013	Oct 2013	1	42.91% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.09% ProShares UltraPro S&P500 (UPRO)	TMF: 4.12% UPRO: 13.76%	9.62%
47	Nov 2013	Nov 2013	1	57.93% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.07% ProShares UltraPro S&P500 (UPRO)	TMF: -8.19% UPRO: 8.87%	-1.01%
48	Dec 2013	Dec 2013	1	38.84% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 61.16% ProShares UltraPro S&P500 (UPRO)	TMF: -6.01% UPRO: 7.54%	2.27%
49	Jan 2014	Jan 2014	1	50.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 49.99% ProShares UltraPro S&P500 (UPRO)	TMF: 19.47% UPRO: -10.72%	4.38%
50	Feb 2014	Feb 2014	1	60.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 39.71% ProShares UltraPro S&P500 (UPRO)	TMF: 1.63% UPRO: 13.65%	6.41%
51	Mar 2014	Mar 2014	1	57.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 43.00% ProShares UltraPro S&P500 (UPRO)	TMF: 1.76% UPRO: 2.15%	1.93%
52	Apr 2014	Apr 2014	1	46.02% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 53.98% ProShares UltraPro S&P500 (UPRO)	TMF: 5.96% UPRO: 1.65%	3.63%
53	May 2014	May 2014	1	61.81% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 38.19% ProShares UltraPro S&P500 (UPRO)	TMF: 8.79% UPRO: 6.62%	7.97%
54	Jun 2014	Jun 2014	1	45.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 54.06% ProShares UltraPro S&P500 (UPRO)	TMF: -1.00% UPRO: 6.22%	2.91%
55	Jul 2014	Jul 2014	1	37.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 62.61% ProShares UltraPro S&P500 (UPRO)	TMF: 1.61% UPRO: -4.44%	-2.18%
56	Aug 2014	Aug 2014	1	50.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 49.97% ProShares UltraPro S&P500 (UPRO)	TMF: 14.42% UPRO: 11.95%	13.19%
57	Sep 2014	Sep 2014	1	46.85% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 53.15% ProShares UltraPro S&P500 (UPRO)	TMF: -6.65% UPRO: -4.44%	-5.47%
58	Oct 2014	Oct 2014	1	48.11% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 51.89% ProShares UltraPro S&P500 (UPRO)	TMF: 8.06% UPRO: 6.03%	7.01%
59	Nov 2014	Nov 2014	1	65.87% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 34.13% ProShares UltraPro S&P500 (UPRO)	TMF: 9.08% UPRO: 8.34%	8.83%
60	Dec 2014	Dec 2014	1	39.32% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 60.68% ProShares UltraPro S&P500 (UPRO)	TMF: 9.38% UPRO: -1.54%	2.76%
61	Jan 2015	Jan 2015	1	52.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.69% ProShares UltraPro S&P500 (UPRO)	TMF: 31.01% UPRO: -9.47%	11.70%
62	Feb 2015	Feb 2015	1	49.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.21% ProShares UltraPro S&P500 (UPRO)	TMF: -17.87% UPRO: 17.48%	-0.12%
63	Mar 2015	Mar 2015	1	39.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 60.92% ProShares UltraPro S&P500 (UPRO)	TMF: 2.57% UPRO: -5.28%	-2.21%
64	Apr 2015	Apr 2015	1	48.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 51.94% ProShares UltraPro S&P500 (UPRO)	TMF: -10.30% UPRO: 2.59%	-3.60%
65	May 2015	May 2015	1	40.45% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 59.55% ProShares UltraPro S&P500 (UPRO)	TMF: -7.91% UPRO: 3.43%	-1.16%
66	Jun 2015	Jun 2015	1	36.44% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 63.56% ProShares UltraPro S&P500 (UPRO)	TMF: -12.49% UPRO: -6.21%	-8.50%
67	Jul 2015	Jul 2015	1	38.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 61.70% ProShares UltraPro S&P500 (UPRO)	TMF: 13.40% UPRO: 6.17%	8.94%
68	Aug 2015	Aug 2015	1	44.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 55.54% ProShares UltraPro S&P500 (UPRO)	TMF: -2.75% UPRO: -18.87%	-11.70%
69	Sep 2015	Sep 2015	1	64.23% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 35.77% ProShares UltraPro S&P500 (UPRO)	TMF: 5.10% UPRO: -8.64%	0.19%
70	Oct 2015	Oct 2015	1	55.52% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 44.48% ProShares UltraPro S&P500 (UPRO)	TMF: -1.73% UPRO: 26.79%	10.95%
71	Nov 2015	Nov 2015	1	52.98% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.02% ProShares UltraPro S&P500 (UPRO)	TMF: -2.71% UPRO: 0.81%	-1.05%
72	Dec 2015	Dec 2015	1	60.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 39.65% ProShares UltraPro S&P500 (UPRO)	TMF: -2.41% UPRO: -6.06%	-3.85%
73	Jan 2016	Jan 2016	1	53.74% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 46.26% ProShares UltraPro S&P500 (UPRO)	TMF: 17.74% UPRO: -15.38%	2.42%
74	Feb 2016	Feb 2016	1	65.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 34.47% ProShares UltraPro S&P500 (UPRO)	TMF: 8.71% UPRO: -1.68%	5.13%
75	Mar 2016	Mar 2016	1	55.95% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 44.05% ProShares UltraPro S&P500 (UPRO)	TMF: -0.64% UPRO: 21.50%	9.11%
76	Apr 2016	Apr 2016	1	46.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 53.25% ProShares UltraPro S&P500 (UPRO)	TMF: -2.39% UPRO: 0.81%	-0.69%
77	May 2016	May 2016	1	49.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.93% ProShares UltraPro S&P500 (UPRO)	TMF: 1.86% UPRO: 4.65%	3.28%
78	Jun 2016	Jun 2016	1	52.56% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.44% ProShares UltraPro S&P500 (UPRO)	TMF: 21.23% UPRO: -0.20%	11.06%
79	Jul 2016	Jul 2016	1	55.38% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 44.62% ProShares UltraPro S&P500 (UPRO)	TMF: 6.07% UPRO: 11.13%	8.33%
80	Aug 2016	Aug 2016	1	35.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 64.82% ProShares UltraPro S&P500 (UPRO)	TMF: -3.58% UPRO: 0.11%	-1.19%
81	Sep 2016	Sep 2016	1	32.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 67.59% ProShares UltraPro S&P500 (UPRO)	TMF: -4.78% UPRO: -0.54%	-1.91%
82	Oct 2016	Oct 2016	1	54.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.37% ProShares UltraPro S&P500 (UPRO)	TMF: -13.32% UPRO: -5.62%	-9.83%
83	Nov 2016	Nov 2016	1	42.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.36% ProShares UltraPro S&P500 (UPRO)	TMF: -23.91% UPRO: 11.05%	-3.85%
84	Dec 2016	Dec 2016	1	35.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 64.33% ProShares UltraPro S&P500 (UPRO)	TMF: -0.99% UPRO: 5.96%	3.48%
85	Jan 2017	Jan 2017	1	42.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.06% ProShares UltraPro S&P500 (UPRO)	TMF: 1.49% UPRO: 5.14%	3.57%
86	Feb 2017	Feb 2017	1	33.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 66.59% ProShares UltraPro S&P500 (UPRO)	TMF: 4.41% UPRO: 11.91%	9.40%
87	Mar 2017	Mar 2017	1	29.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 70.27% ProShares UltraPro S&P500 (UPRO)	TMF: -2.35% UPRO: -0.22%	-0.85%
88	Apr 2017	Apr 2017	1	41.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 58.60% ProShares UltraPro S&P500 (UPRO)	TMF: 4.43% UPRO: 2.77%	3.46%
89	May 2017	May 2017	1	42.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.93% ProShares UltraPro S&P500 (UPRO)	TMF: 5.17% UPRO: 3.70%	4.32%
90	Jun 2017	Jun 2017	1	51.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.99% ProShares UltraPro S&P500 (UPRO)	TMF: 1.98% UPRO: 1.51%	1.75%
91	Jul 2017	Jul 2017	1	43.43% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.57% ProShares UltraPro S&P500 (UPRO)	TMF: -2.43% UPRO: 5.87%	2.27%
92	Aug 2017	Aug 2017	1	38.45% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 61.55% ProShares UltraPro S&P500 (UPRO)	TMF: 10.13% UPRO: 0.21%	4.02%
93	Sep 2017	Sep 2017	1	57.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.54% ProShares UltraPro S&P500 (UPRO)	TMF: -7.29% UPRO: 5.69%	-1.77%
94	Oct 2017	Oct 2017	1	33.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 66.94% ProShares UltraPro S&P500 (UPRO)	TMF: -0.53% UPRO: 6.83%	4.40%
95	Nov 2017	Nov 2017	1	38.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 61.06% ProShares UltraPro S&P500 (UPRO)	TMF: 1.73% UPRO: 8.87%	6.09%
96	Dec 2017	Dec 2017	1	39.80% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 60.20% ProShares UltraPro S&P500 (UPRO)	TMF: 5.04% UPRO: 3.45%	4.09%
97	Jan 2018	Jan 2018	1	32.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 67.21% ProShares UltraPro S&P500 (UPRO)	TMF: -9.77% UPRO: 18.22%	9.04%
98	Feb 2018	Feb 2018	1	49.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.60% ProShares UltraPro S&P500 (UPRO)	TMF: -9.57% UPRO: -13.53%	-11.58%
99	Mar 2018	Mar 2018	1	69.21% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 30.79% ProShares UltraPro S&P500 (UPRO)	TMF: 8.44% UPRO: -8.69%	3.17%
100	Apr 2018	Apr 2018	1	70.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 30.00% ProShares UltraPro S&P500 (UPRO)	TMF: -6.71% UPRO: -0.14%	-4.74%
101	May 2018	May 2018	1	62.72% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 37.28% ProShares UltraPro S&P500 (UPRO)	TMF: 5.27% UPRO: 6.46%	5.71%
102	Jun 2018	Jun 2018	1	47.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 52.81% ProShares UltraPro S&P500 (UPRO)	TMF: 1.49% UPRO: 1.29%	1.38%
103	Jul 2018	Jul 2018	1	48.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 51.37% ProShares UltraPro S&P500 (UPRO)	TMF: -4.70% UPRO: 10.73%	3.23%
104	Aug 2018	Aug 2018	1	51.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.81% ProShares UltraPro S&P500 (UPRO)	TMF: 3.36% UPRO: 9.09%	6.16%
105	Sep 2018	Sep 2018	1	51.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.27% ProShares UltraPro S&P500 (UPRO)	TMF: -8.77% UPRO: 1.20%	-3.96%
106	Oct 2018	Oct 2018	1	42.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.38% ProShares UltraPro S&P500 (UPRO)	TMF: -9.11% UPRO: -20.78%	-15.81%
107	Nov 2018	Nov 2018	1	72.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 27.60% ProShares UltraPro S&P500 (UPRO)	TMF: 4.76% UPRO: 4.28%	4.63%
108	Dec 2018	Dec 2018	1	73.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 26.87% ProShares UltraPro S&P500 (UPRO)	TMF: 17.93% UPRO: -26.25%	6.06%
109	Jan 2019	Jan 2019	1	74.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 25.24% ProShares UltraPro S&P500 (UPRO)	TMF: 0.41% UPRO: 23.89%	6.34%
110	Feb 2019	Feb 2019	1	68.65% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 31.35% ProShares UltraPro S&P500 (UPRO)	TMF: -4.52% UPRO: 9.28%	-0.20%
111	Mar 2019	Mar 2019	1	49.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.33% ProShares UltraPro S&P500 (UPRO)	TMF: 17.00% UPRO: 4.85%	10.88%
112	Apr 2019	Apr 2019	1	58.70% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 41.30% ProShares UltraPro S&P500 (UPRO)	TMF: -6.56% UPRO: 11.81%	1.03%
113	May 2019	May 2019	1	40.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 59.65% ProShares UltraPro S&P500 (UPRO)	TMF: 21.11% UPRO: -18.89%	-2.75%
114	Jun 2019	Jun 2019	1	65.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 34.87% ProShares UltraPro S&P500 (UPRO)	TMF: 1.90% UPRO: 21.37%	8.69%
115	Jul 2019	Jul 2019	1	52.22% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.78% ProShares UltraPro S&P500 (UPRO)	TMF: 0.32% UPRO: 3.80%	1.99%
116	Aug 2019	Aug 2019	1	45.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 54.70% ProShares UltraPro S&P500 (UPRO)	TMF: 35.11% UPRO: -6.62%	12.28%
117	Sep 2019	Sep 2019	1	58.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 41.36% ProShares UltraPro S&P500 (UPRO)	TMF: -9.07% UPRO: 5.30%	-3.13%
118	Oct 2019	Oct 2019	1	33.36% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 66.64% ProShares UltraPro S&P500 (UPRO)	TMF: -4.11% UPRO: 5.70%	2.43%
119	Nov 2019	Nov 2019	1	44.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 55.31% ProShares UltraPro S&P500 (UPRO)	TMF: -2.01% UPRO: 10.73%	5.04%
120	Dec 2019	Dec 2019	1	31.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 68.61% ProShares UltraPro S&P500 (UPRO)	-	-

Next Period
Signal Date	Assets	Details
12/05/2019	32.58% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 67.42% ProShares UltraPro S&P500 (UPRO)	Next period predicted allocation based on market data as of 12/05/2019. UPRO performance over 1-month window is 4.41%. UPRO annualized volatility over 20-day volatility window is 20.08%. TMF performance over 1-month window is 4.03%. TMF annualized volatility over 20-day volatility window is 41.55%.