Quote Originally Posted by grems8544 View Post
Thank you Pascal. Great documentation, as always.

With an IWM historical MDD of -10.5%, is it safe to conclude that using the leveraged triple ETF would result in a MDD in excess of -31.5%?

Regards,

pgd
If you use leverage blindly, this will be the case, but knowing that there is an astounding 0.49 correlation factor between the MDD and the 20DATR, what you need to do is to avoid tripple leveraged when the ATR is above a certain level (my hunch is above 3%) and avoid double ETF when the ATR is for example above 5%. This way, you really reduce the MDD, but you keep your potential for big gains. I would need more research to find out the real combination though.


Pascal