SPXL – TMF SYN backtest

//SPXL – TMF SYN backtest
SPXL – TMF SYN backtest2018-06-03T21:24:46+00:00
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  • julietanogueira
    Post count: 1

    Im trying to backtest the Strategy before 2009, meanwhile, anyone who  has imported the sintetic SPXL TMF, could  share the  performance csv file?  i would like to see the results without GLD, just SPXL-TMF with a 24-26 days LB and VF of 10.


    Thanks in advance

  • Frank Grossmann
    Post count: 162

    An easy way to backtest this strategy is to replace SPY and TLT by the Vanguard mutual funds VFINX and VUSTX. They are practically identical to SPY/TLT. To simulate the leverage you can add a daily multiplication factor to each of the mutual funds. The factor will be slightly less than 3 because of the rebalancing losses of these leveraged ETFs. 2.9 is a good value.
    If you add VFINX and VUSTX using the symbol manager, you have to select Yahoo as data source.


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