OPEN-SOURCE SCRIPT
Vol-Target Trend Engine
WHAT IT DOES
VTTE is a leveraged-ETF allocation engine. It holds a 3x index ETF (built for TQQQ/UPRO) only during favorable regimes, and lets realized volatility set the position size. There is no entry signal being predicted anywhere in the script - the edge is the risk-allocation policy itself, which is why the system has almost no tunable surface to overfit.
HOW IT WORKS
1) REGIME GATE - the position exists only while price trades above its 200-day SMA. Leveraged ETFs suffer volatility decay fastest in downtrends; the gate removes the catastrophic left tail instead of trying to predict it. Below the SMA the system is 100% cash.
2) VOLATILITY TARGETING - exposure = min(100%, target vol / realized vol), using 20-day realized volatility annualized against a 45% target. This is the same architecture vol-control indices and risk-parity desks run: position size shrinks mechanically as volatility expands, which front-runs drawdowns because volatility clusters.
3) REBALANCING - weekly, inside a 10% tolerance band to keep turnover and commission drag low, with an immediate de-risk override when held exposure runs 1.5x over target. Regime flips act immediately.
BACKTEST PROPERTIES (fully disclosed)
0.05% commission per side, 1 tick slippage, fills on close, $10,000 initial. TQQQ daily Feb 2010 - Aug 2026: +3,862% realized net, profit factor 3.33, 155 rebalance events (67.7% profitable), max drawdown 41.9%. Buy-and-hold TQQQ returned more over the same window (+20,107%) but with multiple drawdowns beyond 80%; the S&P 500 returned roughly +630%. The honest comparison is CAGR ~26% at roughly half of buy-and-hold's worst drawdown.
WHAT WAS TESTED AND REJECTED
A faster variant (5-day vol estimate, de-risk any day of the week) was tested and REJECTED with numbers: turnover more than doubled, the system repeatedly sold volatility spikes at their lows and re-bought higher, net return fell from +3,862% to +2,158%, profit factor 3.33 to 1.98, and max drawdown got WORSE (41.9% to 49.6%). Slow rebalancing is a feature, not a limitation.
INPUTS
Realized vol lookback (20d), target annualized vol (45%), regime SMA length (200), rebalance band (10%), fast de-risk toggle.
LIMITATIONS
Single instrument, single history, in-sample. TQQQ's listed history begins in 2010 - a mostly secular-bull window; the regime gate carries the 2020 and 2022 stress periods, but the configuration has not been walk-forward validated yet. Treat every figure as an upper bound on expectancy, not a forecast. Not financial advice.
VTTE is a leveraged-ETF allocation engine. It holds a 3x index ETF (built for TQQQ/UPRO) only during favorable regimes, and lets realized volatility set the position size. There is no entry signal being predicted anywhere in the script - the edge is the risk-allocation policy itself, which is why the system has almost no tunable surface to overfit.
HOW IT WORKS
1) REGIME GATE - the position exists only while price trades above its 200-day SMA. Leveraged ETFs suffer volatility decay fastest in downtrends; the gate removes the catastrophic left tail instead of trying to predict it. Below the SMA the system is 100% cash.
2) VOLATILITY TARGETING - exposure = min(100%, target vol / realized vol), using 20-day realized volatility annualized against a 45% target. This is the same architecture vol-control indices and risk-parity desks run: position size shrinks mechanically as volatility expands, which front-runs drawdowns because volatility clusters.
3) REBALANCING - weekly, inside a 10% tolerance band to keep turnover and commission drag low, with an immediate de-risk override when held exposure runs 1.5x over target. Regime flips act immediately.
BACKTEST PROPERTIES (fully disclosed)
0.05% commission per side, 1 tick slippage, fills on close, $10,000 initial. TQQQ daily Feb 2010 - Aug 2026: +3,862% realized net, profit factor 3.33, 155 rebalance events (67.7% profitable), max drawdown 41.9%. Buy-and-hold TQQQ returned more over the same window (+20,107%) but with multiple drawdowns beyond 80%; the S&P 500 returned roughly +630%. The honest comparison is CAGR ~26% at roughly half of buy-and-hold's worst drawdown.
WHAT WAS TESTED AND REJECTED
A faster variant (5-day vol estimate, de-risk any day of the week) was tested and REJECTED with numbers: turnover more than doubled, the system repeatedly sold volatility spikes at their lows and re-bought higher, net return fell from +3,862% to +2,158%, profit factor 3.33 to 1.98, and max drawdown got WORSE (41.9% to 49.6%). Slow rebalancing is a feature, not a limitation.
INPUTS
Realized vol lookback (20d), target annualized vol (45%), regime SMA length (200), rebalance band (10%), fast de-risk toggle.
LIMITATIONS
Single instrument, single history, in-sample. TQQQ's listed history begins in 2010 - a mostly secular-bull window; the regime gate carries the 2020 and 2022 stress periods, but the configuration has not been walk-forward validated yet. Treat every figure as an upper bound on expectancy, not a forecast. Not financial advice.
Skrypt open-source
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Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.