My US Stock Timer Applied to Proshares Ultra QQQ

I publish the signals for my timer here on this blog.  Some of the commercial timers that are available provide three signals: long, short and cash. At times I have issued a short signal but after reviewing the timer's performance, it appears that my timer should only provide two signals - long and cash.  The timer does not use input from the value of the Nasdaq and therefore is not optimized or curve fit to the Nasdaq.  It just turns out that when applied to the S&P500, the DOW, the Russell 2000 and the Nasdaq, my timer works best for the Nasdaq.  I therefore prepared the following table by applying the long/cash signals to the Proshares Ultra QQQ to achieve maximum performance.  For simplicity, I have not included commissions nor interest earned while in cash.  Since August 02, 2006, this strategy has earned a CAGR of 39% versus roughly a 9.4% CAGR for the Nasdaq. That is, had I bought $100,000 of a Nasdaq ETF on August 02, 2006, that ETF holding would be worth roughly $117,600 today.  However, as seen in the table below, had I purchased $100,000 of QLD on August 02, 2006 and then sold and repurchased as per my US timer, the value of my QLD holdings today would be roughly $181,568.

 

Of course there are caveats.  This timer could fail to perform as well in the future as it has in the past.  Past performance may be a statistical fluke.  As well, holding QLD can be gut wrenching given the wild price swings.

 

Timer Date	Signal	QLD	Gain/Loss	Value
8/2/2006	Long	63.55	24.4%	124,359
3/1/2007	Cash	79.03		124,359
3/21/2007	Long	84.10	18.2%	146,953
7/26/2007	Cash	99.38		146,953
9/5/2007	Long	99.57	15.8%	170,169
11/7/2007	Cash	115.30		170,169
2/25/2008	Long	70.59	-3.1%	164,841
2/25/2008	Long	70.59	-3.1%	164,841
3/4/2008	Cash	68.38		164,841
4/1/2008	Long	76.28	10.1%	181,568
5/23/2008		84.02
		CAGR=	39.1%

 

The QLD prices are the opening prices the next morning after a signal is generated by my timer.