Tag: backtest

The Secret to Shorting Stocks

This post contains affiliate links. An affiliate link means Blackarbs may receive compensation if you make a purchase through the link, without any extra cost to you. Blackarbs strives to promote only products and services which provide value to my business and those which I believe could help you, the reader. Misinformation is everywhere. Many people believe the key to successful short selling is simply the inversion of a successful long strategy. I also used to believe this, among other short

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A Dead Simple 2-Asset Portfolio that Crushes the S&P500 (Part 4)

For newsletter subscribers this post is best viewed directly on my blog. Recap In Part 3 of the series we reviewed the relationship between returns and correlation of the 2-asset portfolio UPRO and TMF. The basic equal weight strategy was very compelling in terms of total return and CAGR. However, the strategy is susceptible to large drawdowns, especially in situations where US equities and long term bonds are out favor, for example in the 2015 and 2018 periods. We also went over some prototy

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A Dead Simple 2-Asset Portfolio that Crushes the S&P500 (Part 3)

Recap This is an update to the original blog series that explored a simple strategy of being long UPRO and TMF in equal weight, inverse volatility and inverse-inverse volatility. This strategy crushed the cumulative and risk-adjusted returns of the benchmark SPY etf. However through our research we determined that this strategy is heavily dependent on the correlation between the two assets. This strategy works best when correlations are positive and prices are trending positively, however, theo

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