The S&P 500 hit a 20-day high today, which is a signal to buy UPRO, and HYG also hit a 20-day high, which is a signal to buy both TNA and UPRO. These had both been sold on 3/18/21 when HYG hit a 55-day low. The portfolio of $116,519 had been in cash since then.
UPRO was sold for $86.50, and TNA was sold for $95.50 on 3/18. I paid a higher price than what the shares went for at the close. There was a sharp, little sell-off at the close. I will use the prices I paid. The system spends one-third of the cash on UPRO and one-third on TNA. The other third is left in cash. One-third came to $38,839, and that bought 429.8 shares of TNA at $90.35 a share, cheaper than where they were sold on 3/18. 428.6 shares of UPRO were bought at $90.60, a higher price than where they were sold.
The R2000 is well off its highs and very volatile, and so this purchase is quite scary. Also, the advance in T-bond yields should cause an advance in junk bond yields. Can the credit spreads between junk bonds and T-bonds narrow even more? Could T-bond yields decrease? I'm skeptical, but we'll see. I did make the purchases of TNA and UPRO in the amounts that the system said.
The initial stop-loss for TNA is the closing price of the R2000, at which it was bought, minus 2x the average true range. That is 2220.52 minus 2 ATR = 2108.95. So a drop below that is a sell. That stop-loss is changed if the R2000 advances to a 20-day high, currently at 2360.17. If hit, the stop=loss will change to the 20-day high minus 2ATR.
In the case of UPRO, the S&P 500 did hit a 20-day high at 3983.87. The stop-loss is at 2ATR below that value, which comes to 3879.34. The stop-loss will be reset if the S&P hits the 20-day high plus one ATR at 4036.13. That changes slightly every day as the ATR changes.
HYG closed today at $87.18, and will presumably open lower because of the dividend. The dividend is usually around $0.31. The stop-loss using HYG is the 20-day high ($87.00) that was hit today, minus 2ATR. That would be $86.52, but adjusting for a $0.31 dividend makes that stop-loss $86.21. This applies to both TNA and UPRO.
TMF will be bought if the 30-yr T-bond yield drops below its 20-day low, which is 2.243% and rising. Today the bond closed with a yield of 2.425%. TMF will also be bought if the 3-mths/30-yr spread hits a 20-day low (2.213%). Since the 3-months yield is stuck in the vicinity of 0.03%, the two indicators are little different, and their buy points will probably be hit the same day.
The YTD gain for the system is 3.27%, but the YTD total gain for IWM is 12.90%. SPY's total return is 6.35% YTD, and the total return for TLT is -13.92%. So a portfolio that was one-third each in TLT, SPY and IWM as of 12/31/20 would have had a return of 1.78% YTD. The system beat that, and as I reported last time, it gained 63.2% for all of 2020.