No. of Recommendations: 2
Since 2010 TQQQ had an annualized return of 42%!, Max DD of -81%!, and Sortino of 1.26. I experimented, using P123, with various methods of limiting the Max DD. Everything I tried hugely stunted its growth.
The best I could do was a 25% annualized return, Max DD of -35%, and Sortino of 1.35 using the following P123 script checked daily:
(Close(0,GetSeries("$VIX"))<SMA(200,0,GetSeries("$VIX"))) // Market volatility calm
[OR] (Close(0,GetSeries("$VIX")))<15
(Close(0,GetSeries("$VIX")))<30
Close (0,33069) > Close (17,33069)
StockID = 33069 //TQQQ
Over this same period SP500 had a 13% annualized return, Max DD of -33%, and Sortino of 1.21.
Taz
