SPXL – TMF SYN backtest

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SPXL – TMF SYN backtest 2018-06-03T21:24:46+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: 157

    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

    2 users thanked author for this post.

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