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Leveraged ETF research · Research strategy

L02 · Volatility-sized leveraged rotation

Selects the stronger eligible leveraged fund and reduces size when its volatility is high.

TQQQ or SPXL, SOXL, and settled cash; QQQ or SPY and SOXX are signal proxiesWeeklyLeveraged ETF exposure

The idea

How it works

Selects the stronger eligible leveraged fund and reduces size when its volatility is high.

Why it might work

Volatility sizing may temper the swings of a leveraged momentum position.

When it invests

At weekly reviews, buy the strongest eligible fund, scaled toward a 40% volatility target and capped at 99%.

When it exits

Exit when its unleveraged signal proxy falls below the 200-day average.

What can go wrong

  • Historical signals can reverse before a delayed order fills.
  • Leveraged fund losses can be large and fast.

Selected research result

L02 · TQQQ + SOXL · v3 base backtest

L02 on TQQQ + SOXL passed the repaired v3 study's historical qualification gates. This is a simulated research result, not live or paper authorization.

Total return209.9%Change in simulated portfolio value over the test.
Annualized return45.8%Yearly compounded return; shown only when supported.
Worst drawdown35.2%Largest fall from an earlier portfolio high.
Sharpe ratio1.13Return relative to variability, under the source study's definition.
Trades7Completed simulated trades, when reported.

Read assumptions and limitations →

Research history

Variants and recorded runs

Repeated and diagnostic runs remain accessible under their tested variant. No run is selected by highest return.

SPXL SOXL1 result
TQQQ SOXL1 result