alexanu / Leveraged_ETF_Tree_Search

Tree search algo for a regularly rebalanced portfolio of leveraged ETF product.

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Code can be run out of the box. Extensively commented and shows a number of different scenarios.

Primary endpoint - to find the best strategy according to a few metrics and under several rebalancing frequencies according to fixed 20% allocations.

So across 30 assets, allocation is divided up in increments of 20%.

Period is from July 1999 to present day.

Sections - CTRL+F to find.

SECTION 1 - TAX FREE, NO ADDITIONAL PRINCIPAL ACCOUNT

-As described. We run a leveraged ETF strategy in a tax advantaged account (e.g. 401K, ROTH) with no added principal. We run several submethods.

  1. tax free, fixed additional principal, no rebalancing
  2. tax free, fixed additional principal, 120d rebalancing
  3. tax free, fixed additional principal, 366d rebalancing

SECTION 2 - TAX FREE, FIXED ADDITIONAL PRINCIPAL ACCOUNT

-As described. We run a leveraged ETF strategy in a tax advantaged account (e.g. 401K, ROTH) with a fixed quantity of added principal deposited monthly.

  1. tax free, no additional principal, no rebalancing
  2. tax free, no additional principal, 120d rebalancing
  3. tax free, no additional principal, 366d rebalancing

SECTION 3 - TAXED, GROWING ADDITIONAL PRINCIPAL ACCOUNT, SOFT REBALANCE

-Growing principal implies the principal deposited monthly grows at a slow but steady rate month to month, implying earnings growth over time. -A soft rebalance does not sell assets, but instead uses the monthly principal to try and return to a desired allocation. -This allows the strategy to be run in a taxed account.

  1. tax free, growing additional principal, no rebalancing
  2. tax free, growing additional principal, 120d soft rebalancing
  3. tax free, growing additional principal, 366d soft rebalancing

SECTION 4 - TAXABLE ACCOUNT - including income and income growth throughout 23yr period

This is a final section with a calculator for the optimal strategy given...

a) initial TC

b) TC percent growth rate

c) percent of TC put towards savings

Note - massive bias towards TQQQ that is unwarranted for any sane risk.

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Tree search algo for a regularly rebalanced portfolio of leveraged ETF product.


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