Tuesday, January 29, 2019

A Delta Neutral 20 Year Treasury model...01.29.2019

Looking to increase our toolbox of DN models in order to diversify income possibilities ....here's the TLT versus TBT model.  Keep in mind TBT is leveraged 2x inverse to TLT so the limit stop has to be double TLT and the trailing stop also has to be double TLT's.  The linearity of this model is truly outstanding and the overall max continuous drawdown is also attractive...especially when you consider the equity curve of the benchmark TLT when seen in a buy and hold situation.