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Leveraged ETF research · Research strategy

L05 · Leveraged breakout risk budget

Buys proxy breakouts with fund position size limited by recent ATR risk.

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

The idea

How it works

Buys proxy breakouts with fund position size limited by recent ATR risk.

Why it might work

A breakout may continue, while smaller positions can limit risk during wide price swings.

When it invests

Enter a fund after its proxy exceeds a prior 55-day high and 200-day average; cap the sleeve at 49.5%.

When it exits

Exit below the proxy's prior 20-day low or a trailing ATR threshold on the fund.

What can go wrong

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

Selected research result

L05 · TQQQ + SOXL · v3 base backtest

L05 on TQQQ + SOXL passed the repaired v3 study's historical qualification gates. This is a simulated research result, not live or paper authorization.

Total return24.1%Change in simulated portfolio value over the test.
Annualized return7.5%Yearly compounded return; shown only when supported.
Worst drawdown11.5%Largest fall from an earlier portfolio high.
Sharpe ratio0.59Return relative to variability, under the source study's definition.
Trades22Completed 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