In this new series, we present our ETF models from our Signal Service. For every Model, we show the setup and the backtest.
Today we look at the Loro Put Call Ratio (LPCR) Model.
The system was published from Urban Jaekle in Stock & Commodities 12/2020 with the title: A Strategy For The Nasdaq 100 Using Options Sentiment. We have changed the setup trigger to +-7%. You receive the entry and exit signal in our Signal Service or in the Loro Scanner.
The backtest from 2007 to 2020 shows an average annual return of +19.15% and a max. Drawdown of -22.46%. This give us a good reward risk ratio of 0.85 (avg. profit 19.15% / max. Drawdown 22.46%). Best result was 2020 with +60%!
If you use the TQQQ instead (leverage 3) you got an average annual return of +67.64% and a max. Drawdown of -43.82%. This give us a better reward risk ratio of 1.54. Best result was 2020 with +211%!
