SmartUPRO Trading Strategy

Performance data quoted represents HYPOTHETICAL past performance of a model portfolio. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.

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Monthly Performance

Benchmark Performance

Performance Note
Performance displayed is as of October 31, 2021. Performance data quoted represents HYPOTHETICAL past performance of a model portfolio. All performance numbers include dividend payments. Due to liquidity and other considerations, performance in actual trading conditions may differ from the one that is stated. The quoted performance does not include actual trading fees, margin fees, management fees, performance fees or other fees incurred when managing a portfolio.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.

Strategy Type
Algorithmic

Benchmark
URPO - ProShares UltraPro S&P500 (3x)

Holding Period
Medium Term - from 1 day to multiple weeks and months.

Signal Evaluation
Signals are evaluated once per day in the last hour of trading. At most one trade per day is executed. Most days there will be no trades.

Active Period
Mar 11th, 2020 - present

Backtest Period
Jan 1st, 2010 - Mar 10th, 2020

Risk Profile
This is a high-risk leveraged S&P 500 strategy that is best suited for qualified high net-worth investors with high risk tolerance due to the occasional significant volatility of monthly returns and high annual drawdowns. This strategy should have at most 20% allocation of overall liquid investments.

Strategy Description
This is a strategy that uses volatility indicators to time entries and exits into UPRO. When volatility is high and rising, it sells UPRO and stays in cash. When volatility is low or declining, it enters into UPRO. The strategy may have long stretches where it is in cash. The algo uses stop losses to minimize drawdowns.

Trading Account Considerations
The strategy targets basic 401(k) trading account without margin. We assume 0.1% slippage during the trade execution (price above 0.1% of the close price was used to buy and price below 0.1% of closing was used to sell). A trading fee of $7.50 per transaction is assumed. The initial amount for the strategy is $100,000 and when buying, as close to 100% of the portfolio balance as possible is invested. The cash was assumed to generate 0% return.

Disclaimer
Prior performance does not guarantee future returns. We were only able to backtest this strategy during the 2013-2020 period due to the factors used.

Black Peak Ventures does not provide professional financial investment advice specific to your life situation. SmartSVXY AI is an investment strategy that may not be suitable for your life situation. Black Peak Ventures provides investment analysis of the CBOE VIX futures market and related exchange traded products using algorithmic and discretionary signals derived from proprietary indicators, measurements and analytics.