For the strategy “Us Sectors Multi momentum”, it is written: “The displayed allocation of the inverse ETF should be divided by the leverage of the ETF” In the example of the print screen attached, I should invest in SCC (415/3) 138 Shares. Correct?
Does the back test of the portfolio take into account the fact that we should divide by 3 the short ETF?
If I allocate 100.000 for this portfolio, it will never be fully invested. Correct? How to make it fully invested?
Yes 138 shares are correct. The backtest is correct. Inside QuantTrader we divided the daily performance of these leveraged ETFs by the leverage factor so that we have now all ETFs inside QT like unleveraged ETFs. The problem is that you will not get good resulty when you mix unleveraged and leveraged ETFs in a strategy. This is why we normalize these ETFs to leverage=1