저자: 미상 · 한국인
요약 보기
과거 나스닥/코스피/닛케이 대상 밸리 트레이딩(고점 대비 하락 시 레버리지 ETF 매수) 백테스트 결과를 설명하며, 향후 미국 성장률 둔화와 대폭락 가능성을 근거로 20~30% 밸리 전략 사용을 권장. 레버리지 최적 비율과 MDD 트레이드오프를 강조하고 'W 몰래 미국주식' 투자 권유로 마무리.
다듬은 글
What was the most effective trading strategy for investing in the Nasdaq in the past? It involved allocating only 1.086% of the money for this month's investment compared to next month's, and using that allocated money on the 1st of every month to buy QLs normally, and TQQ when the Nasdaq had fallen more than 20% from its all-time high.
In other words, let's say I travel back in time to a random point in the past using a time machine. Before getting on the time machine, I need to decide on an investment strategy. At this point, choosing the Valley Trading Method with a 13.85% yearly time weighting and a 20% weighting is the best option.
I explained this in detail in the video displayed at the top right. However, if I were to invest a lump sum now rather than looking at the past, I would keep the 13.85% time weighting the same but use the 30% Valley Trading Method instead of 20%. I will explain the reason for this in this session. I will invest in the Nasdaq, Korea's KOSPI, and Japan's Nikkei from March 9, 2009, the lowest point of the General Brothers crash, until the present.
I will invest 1 million won on the 1st of every month. I conducted a backtest to determine the results of the investment. I have uploaded the backtest data to the blog linked in the pinned comment, so if you are curious, I recommend downloading it and observing the changing returns while adjusting the valley depth.
It appears right here. The reason I set the investment intensity to the Lehman Brothers low point is that since then, all new indices have risen steadily without any major crashes. This is the chart for the new indices. These are the results of investing using the valley trading method while varying the valley criteria.
Since the valley trading method located on the right recognizes a smaller drop as a valley, leading to the purchase of more high-leverage ETFs, I will call it the "high-leverage valley trading method." Let me explain one last time. The valley trading method involves buying 2x ETFs normally and 3x ETFs only during the valley.
In this case, if you define a valley as a drop of more than 30% from the previous high, you specifically buy QQ only in that range; however, if you define a valley as a drop of more than 10% from the actual high, you buy much more TQQ, as you are doing now. Therefore, the smaller the drop recognized as a valley, the more high-leverage ETFs you buy, which is why it is called the high- leverage valley trading method.
It means I intend to call. In the case of the NASDAQ, the best returns are seen when you usually buy QAD and then buy KK in the valley, which has fallen more than 10 to 15% from the previous high. On the other hand, the Nikkei showed the best return of 221% when using a valley trading strategy with a lower leverage of 70%.
In the case of the KOSPI, the best returns are seen when using a valley trading strategy with a leverage of 40% or more. For reference, since the KOSPI has not fallen more than 40% from its previous high since March 9, 2009, I only buy 40, 560, 70, 100, and Board 2x ETFs. However, in fact, for the KOSPI, 92% is not the best return.
Why is that? Why does this phenomenon occur? If you look at the data I have shown so far, they all show the same pattern. When you increase the leverage in the valley trading strategy, the effect of the rise is initially large, so the return rises; but once it passes a certain point, the effect of the fall becomes larger, causing the return to decrease.
This is because leveraged ETFs double both the rise and the fall. However, the better the growth rate of an index, the more days it rises and the falling Since there will be fewer days and the magnitude of the rise will be greater than the fall, the upward effect caused by leverage is more significant, allowing returns to rise even with higher leverage ratios.
Let's assume there is an index that grows steeper than the Nasdaq, achieving an average annual growth rate of 30%. For this index, using a 3x leverage with the Navi ETF, or a large leverage with 5 leverage using the Pro Valley trading method, might yield the best returns. The leverage ratio for the Valley trading method that generates the highest returns—let's call this the "optimal leverage ratio" from now on—is another factor that significantly influences the optimal leverage ratio.
Let's look at the graph specifically. The rise is tremendous, but the fall is also massive. No matter how large the profits you have made, if a massive crash like the Dot-com Bubble meets high leverage, it will fall violently, potentially wiping out all the profits you have earned. Let's look again at the backtest data from the 20 time points shown last time.
In the 1970s, the optimal leverage was buying only the 3x ETF, then it shifted to 15 in 1980, and maintained 70 from 1982 onwards. It continued to maintain 70 until the Dot-com Act As soon as the crash ends, we move back to 10. During the dot-com bubble, the Nasdaq index plummeted by a staggering 78.5% from its all-time high.
Because the crash was that powerful, it began influencing the optimal rankings as far back as 18 years ago. Let me summarize up to this point. The lower the growth rate and the larger the crash, the lower the optimal ratio for the valley trading method becomes. What did I say at the beginning of the video?
I mentioned that while the best investment in the past was the 20% valley trading method, I would use 30%. I think the reason is clear. It is to prepare for a massive crash—larger than the all-compact one—that could occur in the future, as U.S. economic growth is expected to slow down compared to the past.
Over the past 100 years, the S&P has shown an average annual return of 6%. If we count from 1971, when the Nasdaq was created, the S&P is 7.19% and the Nasdaq is 9.17%. Compared to the KOSPI's growth rate of 3.48% since 2000, you can see just how insane that growth rate is. My point is not that the U.S.
will lose its position as a hegemon, but that in the future, at this level... It means that growth can provide protection. I do not believe the past guarantees the future 100%. Even if this level of growth is maintained, if a crash larger than the dot-com bubble occurs, the optimal leverage for the Valley Trading Method drops.
While the probability of a crash bigger than the dot-com bubble is not high, I do not think we can completely ignore that possibility. Moreover, since the Time-Weighted Valley Trading Method is demonstrating high returns exceeding market returns, I don't think it is a bad idea to sacrifice a small return to invest more safely.
To summarize: Historically, the best investment for a lump sum was the 13.85% Time-Weighted 20% Valley Trading Method. Because it was the best strategy in the past, the 20% Valley Trading Method is most likely to remain the best investment in the future. Therefore, using the 20% Valley Trading Method is a good option.
Since this method already accounts for crash risks such as the dot-com bubble, the 20,000 Brothers crash, and the oil crisis, you can be confident. A 30% investment with slightly lower leverage is also good. This is the trading method I recommend to you. It prepares for a slight slowdown in growth and a crash larger than the dot-com bubble.
Going forward, US growth If you feel that the market will slow down significantly or are feeling a lot of fear, I think up to 50% would be acceptable. For reference, using the 50% deep valley trading method would essentially mean buying Ticket QQ only at the bottom of the massive crash—as shown in the graph—specifically at the bottom of the Dot-com bubble.
Using leverage higher than 20% for valley trading is strictly prohibited. Since sufficient profits are already being generated, I question whether it is necessary to bet on the US growing even steeper than it is now. Moreover, it can lead to excessive Maximum Drawdown (MDD). Lowering the leverage below 50% is also forbidden.
The reason you want to lower the leverage further is likely to reduce the MDD. Of course, lowering the leverage reduces the MDD, but it drastically reduces profits. For example, trading with the 10% deep valley method since 2007 yielded a peak profit of 1,113%, whereas using the 60% valley method only yielded a profit of 966%.
On the other hand, the MDD decreased by a mere 2%. To reduce the MDD, you must use a different method that is far more effective than simply reducing the leverage in the valley trading method. Next time... I will introduce that method. I always tend to talk too much when filming, so I apologize for not being able to provide as much information as I would like.
However, if you trust me and follow along with these US stocks secretly from my wife, I will repay you with the most effective trading method in the world. I am confident. Thank you so much for watching this long video today.
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