Since 2002, this ETF seasonality strategy has not experienced any losing years in its backtests. We also include backtests from 1990 that use the same underlying index that the ETF tracks.
Backtest Results
Market: Unleveraged ETF
Timeframe: Daily
Backtest period: 01/02/2002-12/06/2024
There are no losing years. The Sharpe ratio is 0.93 with a 12.3% maximum drawdown. These statistics allow the use of a leveraged ETF. Below is the backtest for the 3x leveraged ETF.
Backtest Results
Market: Leveraged ETF (3x)
Timeframe: Daily
Backtest period: 01/04/2010-12/06/2024
Backtest statistics
| Annualized return | 13.8% |
| Maximum drawdown | -21.3% |
| Volatility | 15.4% |
| Sharpe ratio | 0.90 |
| Beta | -0.1 |
| Skew of the equity curve | 1.31 |
| Win rate | 61.4% |
| Trades | 171 |
| Payoff ratio | 1.22 |
| Average holding period (days) | 4 |
| Exposure | 14.3% |
With an exposure of only 14.3% and a holding period of three days, this strategy has had an annualized return of 13.8% since 2010. The Sharpe ratio is 0.90. The skew of the equity curve is 1.31, and beta is close to zero. These statistics make this strategy a potential diversifier. See “caveat emptor” below.
Long-term backtest
We used the underlying index that the ETF has tracked closely since 1990.
The long-term results have comparable statistics with those of the unleveraged ETF. The Sharpe ratio is a little higher at 0.97, and the maximum drawdown is 14.7%. Beta is close to zero, and skew is 1.26. These statistics make the use of this seasonality strategy as a diversifier look promising.
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About the risks of seasonality strategies
Seasonality strategies are risky because price action anomalies may disappear at any time. These strategies are only good for experienced traders who know how to manage risk and are willing to take on big risks.
When using a profitable seasonality strategy, inexperienced traders may lose money because they are afraid to act on signals that are risky at first but pay off in the long run.
Warning: The use of leveraged ETFs can result in a total loss and losses exceeding the available capital.
Disclaimer: The premium articles are provided for informational purposes only and do not constitute investment advice or actionable content. We do not warrant the accuracy, completeness, fitness, or timeliness for any particular purposes of the premium articles. Under no circumstances should the premium articles be treated as financial advice. The author of this website is not a registered financial adviser. The past performance of any trading system or methodology is not necessarily indicative of future results. . Read the full disclaimer here.
Charting and backtesting program: Amibroker. Data provider: Norgate Data
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