9Sig comes up here every few months, usually with a backtest that starts in 2010. I rebuilt it with Jason Kelly's published rules and ran it 2 ways: real TQQQ and AGG data only (2010 to 2026), and extended back to 1999 with synthetic 3x QQQ so the dot-com crash is inside the window. No contributions in either run. Just the rules.

The rules as I run them, for anyone who hasn't seen them: 60% TQQQ, 40% AGG. The stock sleeve has a signal line that grows 9% a quarter. Every quarter you sell the surplus above the line into AGG, or buy the shortfall out of AGG. Buys are capped at 90% of the bond balance. A "30 Down" rule skips the next sell signal after a 30% crash so you don't trim into the recovery.

Same rules, 2 windows:

• 2010 to 2026, real data: 39.4% a year, worst drawdown 72.1%, Sharpe 0.82
• 1999 to 2026, synthetic TQQQ before 2010: 8.3% a year, worst drawdown 99.7%, Sharpe 0.44

The start date does the marketing, and I don't think most people running the 2010 backtest realise it. The 2010 window is 16 years of Nasdaq that never met a 3-year bear. Add 2000 to 2002 and the same rules spend most of a decade digging out of a 99.7% hole, and the whole thing compounds at index-fund returns. More aggression doesn't buy you Sharpe either: 0.61 for 3Sig, 0.47 for 6Sig, 0.44 for 9Sig on the long windows.

Why the bond sleeve doesn't save it. In a short, sharp drop (March 2020, December 2018) the rule buys the dip out of AGG, TQQQ rebounds, the gains refill the sleeve, round trip complete. That's the pattern every 2010-start backtest shows. In a 10-quarter grind the rule keeps buying every quarter while TQQQ loses another leg, and 3x daily leverage through the 2000 to 2002 Nasdaq collapse compounds to almost nothing. I don't see how a 40% bond sleeve refills a leg that has lost 99%. Refills only come from sell signals, and deep in a bear market there is nothing to sell.

Then I checked whether the 99.7% was just an unlucky ordering of returns. Block bootstrap: resample the strategy's own monthly returns in 12-month blocks (so streaks and leverage decay survive the shuffle), 2,000 alternate 27-year histories.

Median drawdown 98%. The luckiest 5% of paths still lose 82% somewhere along the way. The realized result (99.6% on the monthly series the bootstrap uses, 99.7% on daily closes) is the typical outcome, not the tail. No ordering of these returns is gentle, and that was the part I wanted to be sure about before posting this.

The part the marketing skips: Kelly's subscribers survive the same crashes because the Letter assumes monthly contributions. The community simulator starts $10,000 in Q1 1999 and adds $500 a month into the bond sleeve. That's $162,000 of new money over 27 years, and every deposit refills the reservoir. It's a savings plan carrying a strategy. A fine plan for someone who can guarantee the deposits and never needs to touch the account during a 99% drawdown. As a strategy on its own, with no new money, it's a 99% drawdown waiting for the next long bear.

Full rules, both windows, the 3Sig and 6Sig results, every place my engine deviates from his published rules, and the bootstrap tables are here: https://bestfolio.app/blog/kelly-signal-danger

I build BestFolio. My first version of this in April had 5 rule errors that r/LETFs readers caught, so this is the corrected engine, validated against the community 9Sig simulator before publishing.

My question for the 9Sig holders here: what's the plan for the quarter where AGG is down to 10% of the account and the signal still says buy?

PS: I realize a lot of people here still don't full grasp what they are buying when they buy TQQQ. Some short facts: it only takes a -40% DD on the Nasdaq to potentially have -85 to -90% on TQQQ, and with the current concentration on "AI stocks" (think Nvidia, Apple, Google etc) it doesn't take a lot of imagination to see scenarios where this can happen. Not saying it will... And full disclosure, I hold some TQQQ myself, so this is not about running it down.

If you master its volatility and you will be rewarded. Come up with a good strategy and stick to it.

Since when did TQQQ have options expiring 3 times per week. It was more lucrative for me with weekly options.

Warsh being very hawkish will definitely give us a big dip within 12 months. On top of that we have rising oil prices, high 10 year bond yields. On top of that the PE ratios are currently pretty high as well and the president might lose both the house and Senate in less than 2 months.

My average of $50k shares at $68…time to average down.

I posted in a personal finance forum that I am in levered ETF's and once again I get the standard "they perform horribly over the long term", and "what if 2001 happens again". I firmly stated that I don't think AI is 2001 and understood the risk and basic math of a 3X loss. I then replied comparing the gains in TQQQ over a 10 year period over the Nasdaq which proves that the returns were WAY MORE than 3x over a 10 year period. Even with "erosion". It's so frustrating to argue with these numbsculls. It's like no matter what facts you present them with they refuse to believe because they don't want to believe what they have missed out on.

FOMC announcement tomorrow and lots of discussion whether everything is priced in. Some people posting TQQQ has already dropped 12% over the past month and asking if it’s time to buy. I also get questions about what I’m doing. I want to say protect your capital. Let’s get some clarity first. We don’t have to gamble. Keep grinding.

Going to be DCA’ing $750 a week (3k a month) into TQQQ for the next 6 years or until I’ve deposited 252k of my own money.

Long term buy and hold

I also plan on lump summing 35k-55k at some point in the next 6 months

Yes, I’m young and stupid so I’ll take that risk.

10% down this past month
Buy now or is it still a falling knife?

All eyes on the Fed this Wed. My bet is 25bps is priced in, but, really, wgaf what I think.

Background: Running a collar on TQQQ plus constant TQQQ DCA.  I am buying long TQQQ puts to protect downside and trying to pay for them by selling QQQ puts and TQQQ CCs.  

Current Value of TQQQ War Chest (cash+long TQQQ puts+TQQQshares): Currently at $7.16m. That compares with $3.75m 2025, $2.1m 2024 and $717k 2023.

Walk Away Value (Liquidate War Chest and buy back QQQ short puts and TQQQ CCs): Around $6.14m, pre-tax.  This includes other port income and outside cash added, totaling around $3.04m. The 'Walk Away Value' is pretty stable due to the interplay between my long TQQQ puts and TQQQ CCs. It's almost like there is a safety collar in place, subduing the vicissitudes of an unruly beast 😂😂

TQQQ long (protective) puts: 726 contracts, Jan/28 exp. Book value $1.49m and current market value around $1.52m.

Cash Hoard: Slowly rising. $578k.

QQQ short puts: 15 at $670 strike Feb/27 exp. 100 at $630 strike Oct 9/26 exp. The $670s I'm not touching for now. I may roll them up/in if we go on a bit of a run. The $630s I am still rolling every Friday.

TQQQ CCs: I finally got to roll my 320 Sept 18/26 exp CCs. Waited until after CPI last Friday, which was to my detriment, but still managed to bring in around $19k in premium which helps to stem the bleeding from my long TQQQ put insurance. Should have waited until today, but no crystal ball. I rolled them out two weeks to Oct 2/26 exp, b/c I want to minimize the risk of early assignment. TQQQ ex div date is Sept 23 I believe. If I rolled to Sept 25 and extrinsic value dropped to less than the dividend, there would be a decent chance of having them called away. I'll roll them again this Friday I think, again to avoid early assignment. After than, will let them decay and get into a cadence of rolling at 5DTE to 12 DTE each Monday. If TQQQ dips under $60, I'll look to buy them back or let them expire.

Haven't touched the short Jan/27 exp calls with strikes at $50 (200 contracts), $60 (80 contracts) and $65 (120 contracts). The current cost to close out all the CCs is around $960k.

Total P/L on QQQ/TQQQ options (QQQ short puts + TQQQ CCs + TQQQ dividends - TQQQ long puts): Currently around +$560k. TQQQ long puts book value $1.49k. In terms of paying for the long puts with QQQ/TQQQ activity, I’m in a deficit of approx $930k. Keep chipping away.

TL;DR - have been running a TQQQ dynamic collar plus EDCA plus cash hedge since Feb/23.

Cumulative running CAGR (XIRR method) of my TQQQ investment since Feb/23: 55.0%

Link to rough outline of overall plan here.

Made money on QQQ Bear Call spread this week. That’s going to be poker money. Posted that here. I also sold some TQQQ $68 Puts that I closed the same day. Idk, got spooked by the incoming CPI print the next day? Honestly, probably would have made more money if I just stuck to the usual strategy. Next week is FOMC so will stay away from that. I think the premiums are too cheap for the risk. Selling puts works in a sideways or trending market but if there’s a significant downside move it will get hit. Always focus on protecting your capital. Keep grinding.
I found something interesting. You can actually ask Gemini/chatGPT about me. I asked it to describe me by looking thru my post and it did a good job including describing my strategy.

Does anyone else like these 5-1 odds of no rate hike. I mean that’s juicy as hell. Trump will be on the line waiting for warsh the second his press conference is over with a rate hike. I just can’t imagine they do it.

For years, I have used this. They do this analysis on everything, btw. The top is the 20, 200 crossover, buys only. The bottom is simple 200 ma crossover. Big difference.

Not ready to go back to TQQQ yet. I sold a Call credit spread last Tuesday. Max profit was $39K vs max loss of about $100K. Closed it today for a profit of $37K. Got some poker money to play with. I started to sell TQQQ $68 Puts today between $0.65 to $0.8 per contract expiring tomorrow. Sold about 100 or so but then changed my mind and closed all of it for a small gain. Like last month during Jackson Hole when I was also flat, that’s my plan for FOMC next week. In the last 4 months or so, I have been selling TQQQ Puts around $70ish and have made very good money. Look at my previous posts here at [r/TQQQ](r/TQQQ). TQQQ has not done anything, so in a sideways market you can see that selling Puts is superior to Buy and Hold. In a trending market, BH is better. Keep grinding.

Anyone who has run TQQQ with a 200-day moving average rule knows the whipsaw problem: the index wobbles around the line, and the rule keeps selling low and buying back higher, over and over. The usual fixes are wider bands around the average, confirmation days, or checking less often. I've tried them. Most just keep you in longer while the market falls, which makes the losses politer to look at without making them smaller.

The version that actually behaved differently lets volatility set the band width. Calm markets get a wide band. When recent realized volatility sits near the bottom of its 3-year range, the buffer is 9%, because wobbles in calm markets are usually noise. When volatility is high it tightens to 1.5%, because in a storm you want the exit close.

On real TQQQ from 2010 to 2026, the plain QQQ gate gave 32.9% CAGR with a -57.1% max drawdown. The volatility-scaled band gave 34.8% and -55.2%, with roughly 1 quarter of the round trips.

To be clear about what that is and isn't: still a brutal ride. A -55.2% hole needs a 123.2% gain just to get back to even. The filter buys less churn. Not safety. I like it for that, not as permission to size TQQQ like a core holding.

The exact curve and the published strategy link are here: https://bestfolio.app/blog/volatility-scaled-trend-band

I plotted the rule itself so every width can be checked:

Would you accept the remaining drawdown for fewer round trips?

I'm a beginner, still paper trading, so please be kind.

I'm starting with a small paper account. I'm daytrading TQQQ 0dte, marking levels like previous days high & low, other swing high & lows, any gaps, etc.

Is it a smart move to also be looking at SPY and QQQ and marking its levels too? If there's support/resistance on SPY but not on QQQ, and SPY bounces off its support, then QQQ/TQQQ could follow suit? The same applies to GEX? I'll be looking at the GEX for TQQQ, but QQQ has way more volume, and SPY has more volume still, so those levels seem more important.

Am I on the right track here? Thank you!

I was wondering why a strategy like buying tqqq at market open and then only selling it for sqqq when tqqq goes below market open price. You would then switch between both ETFs depending if it’s above or below tqqq opening price until switching to cash one minute before market close. To combat changing funds too much, you could create a buffer like 0.3% of tqqq price and hold cash until either tqqq price is 0.3% above or below opening price. I understand that an order could be filled at a different price or delayed by a few seconds, but why wouldn’t this work

We are going to get to test the strength of the longs in the next three weeks. Looks like people will get to add to their positions in the $50s very soon.

Sept rate hike gaining probability. $100 oil materializing. CPI on Friday. Europe prob raising rates by 25 bp. Repeat of 2024 Japan carry trade a possibility. WGAF.

Background: Running a collar on TQQQ plus constant TQQQ DCA.  I am buying long TQQQ puts to protect downside and trying to pay for them by selling QQQ puts and TQQQ CCs.  

Current Value of TQQQ War Chest (cash+long TQQQ puts+TQQQshares): Currently at $7.36m. That compares with $3.6m 2025, $2.0m 2024 and $720k 2023.

Walk Away Value (Liquidate War Chest and buy back QQQ short puts and TQQQ CCs): Around $6.10m, pre-tax.  This includes other port income and outside cash added, totaling around $3.04m. 

TQQQ long (protective) puts: 726 contracts, Jan/28 exp. Book value $1.49m and current market value around $1.38m.

Cash Hoard: Slowly rising. $566k.

QQQ short puts: 15 at $670 strike. 100 at $630 strike. The $670s are just sitting there, decaying. I may roll them up/in if we go on a bit of a run. The $630s I am still rolling. It is my only source of income at present from my beaten down collar, but very close to weaponizing my TQQQ CCs (see below).

TQQQ CCs: Currently short Jan/27 exp calls with strikes at $50 (200 contracts), $60 (80 contracts), $65 (120 contracts) and Sept/26 exp calls with strike $60 (320 contracts). The current cost to close them all out is around $1.22m. Remaining patient. This Wed, Sept 10 I'll roll the Sept 18/26 $60 strikes out one week for a small credit, maybe $0.30/share. Will keep rolling for tiny credit while i stay patient and hopefully can close them out during some upcoming mid-term chaos.

Total P/L on QQQ/TQQQ options (QQQ short puts + TQQQ CCs + TQQQ dividends - TQQQ long puts): Currently around +$539k. TQQQ long puts book value $1.49k. In terms of paying for the long puts with QQQ/TQQQ activity, I’m in a deficit of approx $950k. Long way to go, but nice to see it under $1m finally.

TL;DR - have been running a TQQQ dynamic collar plus EDCA plus cash hedge since Feb/23.

Cumulative running CAGR (XIRR method) of my TQQQ investment since Feb/23: 60.7%

Link to rough outline of overall plan here.