SPXL – TMF SYN backtest

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SPXL – TMF SYN backtest2018-06-03T21:24:46+00:00
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  • julietanogueira
    Participant
    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
    Moderator
    Post count: 169

    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.

    https://seekingalpha.com/article/2823336-spy-tlt-universal-investment-strategy-20-year-backtest

  • Richard
    Moderator
    Post count: 41

    Hello Frank,

    Some advice with Symbol Manager, please.

    I tried to do some testing with the Vanguard mutual funds VFINX and VUSTX, attempting to add them through the Symbol Manager, selecting Yahoo as the data provider, as suggested. The download failed – prompting “Downloading Historical Data Failed!”. Same result with Tiingo, same result with every new symbol I attempted to add to the symbol list. Checking the .ini file, the new symbols were present. Then, attempting to delete the unpopulated new symbols after failed data downloads, the “Unhandled exception…” error occurs.

    Advice would be welcome.

    Regards, Richard

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