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  • 1955 & 1913 LETF Backtest

    Leverage in markets is nothing new, but the forms and costs have certainly changed over time. In this post I wanted to model the importance of including borrowing costs in your analysis when deciding if leveraged ETFs (LETFs) are right for you. In the next two charts you will see a log and a linear

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  • Merry Christmas

    We had a nice finish to the week leading into Christmas. I hope everyone has a great weekend and holiday as markets are closed on Monday.

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  • Down $12,000 today

    Today my investments are down about $12,000. For months I have stayed mostly bullish because my algorithms have said to stay bullish. My intuition has frequently felt that it was a bad time to go long and my intuition is flaring up today. It may indeed be a bad time to be long the market

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  • Backtesting Blind Buying UPRO to 1913

    I want to take another look at mimicking UPRO going back to 1913. Of course, UPRO didn’t arrive until around 2010, but with a little math and coding we can simulate what a similar set of holdings may have been like since 1913. In blue you can see actual UPRO. In green you can see

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  • Does Trade Drawdown Matter?

    I am unsure exactly how they intend the statement and screenshot, but I take it to mean they are not impressed with my strategy. I appreciate their concern, but likely would disagree with their view of how problematic it is. Let me explain.

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  • Orphaned Stops on Collective2

    I wanted to verify how collective2 handles stop orders for positions that may have already exited or stops for quantities that are greater than the current position. To test this I opened 2 shares of VXX and placed several sets of stops for 2 shares. Then I closed one share and waited to see what

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