Originally Posted by
Billy
Thank you Dave, your comment is correct.
For the old (backtest) 2007 trades, I will check with Pascal or I'm sure he will jump in the thread.
About the allocations, they will be further detailed in the Algo & Multi pivot forum over time.
If you trade only IWM/RWM, then the optimal proportion of GDX is much higher than if you trade the double or triple-leveraged IWM related ETFs. However, note that the backtest period included the most volatile market in a decade and future results may differ much if we enter a period of stable volatility.
Pascal will post soon an enlighting robot drawdown study for GDX compared to IWM that demonstrates that non-leveraged and double-leveraged IWM trading should be combined with GDX trading for optimal portfolio risk-adjusted performance.
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