Composer
Leveraged Golden Butterfly
Fragile
“36% 3x S&P 500 (UPRO), 36% 3x 7–10Y Treasuries (TYD), 28% 2x Gold (UGL). Rebalanced quarterly.”
From Composer
As tested: 36% UPRO, 36% TYD, 28% UGL, rebalanced at each quarter end.
Holding today: UPRO 36% · TYD 36% · UGL 28%
Uses leveraged funds. The test covers 2016–2026, one long Nasdaq bull market; it has never seen a 2000–02 or 2008, where 3× funds lost 90%+.
Edge per month+0.30 pts/mopts per month vs SPY
t-stat0.8395% range -0.41 to +1.01
Months120Nov 1, 2016 – Oct 12, 2026
CAGR18.2%SPY 15.8%
Max drawdown-46.1%SPY -33.8%
Since published+0.57 pts/mo39 months from Jul 8, 2023; +0.17 pts/mo before
Last 12 months-5.45 pts12 months, summed
Why fragile
- t-stat 0.83 is inside the noise
- 20% of resamples have no edge
- the edge held after publication: +0.57 since it was published in 2023-07, vs +0.17 before
Growth of $1
Leveraged Golden ButterflySPY
Log scale. Traded at the next open after each signal, quarterly rebalance, slippage on every trade.
Year by year
2016
-5.04 pts/mo2
2017
+0.73 pts/mo12
2018
-0.13 pts/mo12
2019
+1.38 pts/mo12
2020
+2.30 pts/mo12
2021
-0.40 pts/mo12
2022
-2.05 pts/mo12
2023
+0.25 pts/mo12
2024
+0.30 pts/mo12
2025
+2.15 pts/mo12
2026
-0.82 pts/mo10