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Leveraged ETF research · Research strategy

L07 · Leveraged contraction breakout

Arms a fund after proxy volatility contracts, then enters a subsequent breakout.

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

The idea

How it works

Arms a fund after proxy volatility contracts, then enters a subsequent breakout.

Why it might work

Quiet consolidation can precede a directional move.

When it invests

Enter up to 49.5% within ten sessions after contraction if the proxy exceeds a prior 20-day high and its 100-day average.

When it exits

Exit below the proxy's 20-day average or after twenty holding sessions.

What can go wrong

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

Selected research result

L07 · TQQQ + SOXL · v3 base backtest

L07 on TQQQ + SOXL failed the repaired v3 study's historical qualification gates. This is a simulated research result, not live or paper authorization.

Total return18.4%Change in simulated portfolio value over the test.
Annualized return5.8%Yearly compounded return; shown only when supported.
Worst drawdown48.5%Largest fall from an earlier portfolio high.
Sharpe ratio0.36Return 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