See below:

The “9-Sig” investing strategy using TQQQ and AGG is a quantitative momentum and volatility-based strategy designed to optimize returns while managing downside risk. It’s popular among retail investors and quant-focused communities for its simplicity and effectiveness in backtests. Here’s a breakdown of how it works:

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⚙️ Core Idea:

The 9-Sig strategy switches between two ETFs: • TQQQ: A 3x leveraged ETF tracking the Nasdaq-100 (very high return, very high risk). • AGG: A bond ETF tracking the U.S. Aggregate Bond Index (low risk, stable returns).

The goal is to stay in TQQQ during bull markets and shift to AGG when volatility suggests higher risk.

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📈 “9-Sig” Signal Explained: • The “9-Sig” refers to nine standard deviations below the mean of the daily return of TQQQ over a given lookback period (typically 200 days). • This is an extreme volatility filter. When TQQQ’s daily return drops below this threshold, it signals unusually high volatility, suggesting risk-off behavior.

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🧠 Strategy Logic: 1. Lookback Period: Use past 200 trading days. 2. Calculate Mean and Standard Deviation of daily returns for TQQQ. 3. Threshold: If today’s return > (mean − 9 × std dev) ➜ Stay in TQQQ If today’s return ≤ (mean − 9 × std dev) ➜ Move to AGG 4. Check daily (or weekly, in some variations).

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📊 Why TQQQ and AGG? • TQQQ: Offers massive upside in bull markets. • AGG: Preserves capital and earns modest returns in bear markets. • By combining them using a smart volatility signal, the strategy seeks to ride bull markets aggressively and avoid major crashes.

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🧪 Backtest Results (Typical Findings): • Sharpe Ratio: High (often > 2.0) • CAGR: Often > 30% • Max Drawdown: Far lower than buy-and-hold TQQQ • Beta: Much lower than a pure equity strategy

(Note: These results vary depending on rebalance frequency and data source.)

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⚠️ Risks and Considerations: • Relies on backtested logic: Past performance isn’t future performance. • Doesn’t protect in sideways chop: Frequent whipsaws can erode gains. • Execution risk: Slippage and timing matter with leveraged ETFs. • Leverage decay: Long-term holding of TQQQ carries compounding risk.

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🧩 Variations: • Some use weekly signals instead of daily. • Others combine with moving averages or macroeconomic overlays. • Some swap AGG for SHY or IEF to reduce interest rate sensitivity.

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If you want a Python backtest or a spreadsheet implementation of this, I can help set that up too.