- julietanogueiraParticipant06/03/2018 at 9:24 pmPost 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 GrossmannModerator06/04/2018 at 7:50 amPost 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.
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