Cautious Fund Surfing | SPY vs. TLT | 3x
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About
A cautious switcher between 3× S&P 500 (UPRO) and long Treasuries (TLT). It only buys 3× stocks when recent volatility is low and stocks aren’t “hot”; otherwise it sits in TLT. Uses 15 short lookbacks, averages their votes, and rebalances daily since 2009.
How it worksThis strategy “surfs” between two funds every day: UPRO (a fund that aims to move about 3× as much as the S&P 500) and TLT (long‑term U.S. Treasury bonds). It runs 15 quick checks using recent 14–42 days of data:
- If the stock market (SPY) has been calm (small daily swings), AND its short‑term “heat score” (RSI: a 0–100 measure of recent ups vs downs) looks cooler than a cash‑like bond fund (SHY), that check buys UPRO.
- Otherwise it holds TLT.
The portfolio averages all 15 votes. More “UPRO votes” means more UPRO; jumpy or overheated markets push it into TLT.
Value propHigher upside in favorable regimes: out-of-sample 33.4% annualized vs S&P 22%, via disciplined SPY leverage in calm markets and Treasuries hedges. Note: higher drawdowns; suitability depends on your risk tolerance.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.21 | 0.8 | 0.27 | 0.52 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 1,029.9% | 15.25% | 2.3% | 5% | 0.92 | |
| 17,623.25% | 35.4% | 6.41% | 13.69% | 1.28 |
Initial Investment
$10,000.00
Final Value
$1,772,325.03Regulatory Fees
$3,457.31
Total Slippage
$28,162.34
Invest in this strategy
OOS Start Date
Apr 3, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, stocks vs bonds, leveraged etfs, volatility filter, rsi momentum, daily rebalance