LT Gain 200 Strategy Overview

LT Gain 200 is LT Gain with one change: during the recovery phase of a U.S. equity drawdown, and only then, the equity position is held through a 2x S&P 500 ETF (SSO) instead of an unleveraged one (IWB). Every other rule is identical. Same momentum measure, same Risk On / Risk Off test, same Treasury Duration Limiter.

Because LT Gain is the simplest strategy in the lineup, this is also the simplest application of Smart Leverage anywhere on the site. There is one position, one decision, and leverage either applies to that position or it does not.

The base strategy's logic and its defensive ladder are on the LT Gain page.

What the 200 means

LT Gain holds one ETF at 100%, every month, without exception. There is no sleeve structure to leverage partially, so substituting a 2x fund for the equity position doubles the portfolio's notional exposure to 200%.

That is the whole portfolio, not a slice of it. Triad 135 leverages a 35% sleeve and reaches 135% notional. LT Gain 200 leverages the only thing it owns.

Notional exposure is 100% whenever leverage is dormant, which is most of the time, and 200% when it is not.

How Smart Leverage decides

Dormant. Nothing happens. LT Gain 200 holds exactly what LT Gain holds.

Armed. U.S. large cap has closed a month 10% or more below its highest prior month-end close. Arming and deploying cannot happen in the same month, so there is always at least a one-month gap between the drawdown being recognised and leverage going on.

Deployed. From armed, leverage deploys in the first month where U.S. large cap's momentum has turned back up and the strategy is Risk On. Smart Leverage sits downstream of the Risk On test and cannot override it: if the strategy has stepped out of equities, there is nothing to leverage.

The three exits

• Momentum turns. T-bills catch up to or pass U.S. large cap on the weighted-average measure.
• Any Risk Off month. The strategy leaves equities and the leveraged position goes with it.
• The 13-month cap. No deployment runs longer than 13 consecutive months, set at the long-term capital gains boundary so a full-length deployment clears the one-year holding period.

One trigger, one deployment

When a deployment ends, for any reason, the drawdown that armed it is spent. Favorable momentum the next month does not redeploy it. Only a fresh 10% drawdown from a new peak can arm it again. This is what separates the module from a naive rule that simply levers whenever the trend is up.

No Prolonging the Magic

Global Navigator 200 has a rule that keeps a live deployment alive when the strategy rotates from U.S. to international equities, on the reasoning that the two are one equity view expressed two ways. LT Gain has no second equity candidate, so there is no rotation that could trigger it and the rule does not exist here.

The practical effect is that LT Gain 200's leverage state is easier to reason about than any other leveraged strategy on the site. It is on, or it is off, and the three exits above are the complete list.

The defensive side is not leveraged

LT Gain 200's Risk Off holdings are the same as the base strategy's, unleveraged: EDV in the first month of a defensive run, TLT thereafter, and BOXX locked for the remainder once the Treasury Duration Limiter fires.

This is worth stating explicitly because it is not true of LT Gain 300, which substitutes the 3x Treasury fund TMF for EDV in the first defensive month. At 2x, leverage touches the equity position and nothing else.

What leverage costs

January 1980 through September 2026, net of trading friction:

	CAGR	Max Drawdown	MAR
LT Gain	+12.7%	-23.4%	0.54
LT Gain 200	+16.0%	-24.1%	0.66
S&P 500	+12.0%	-51.0%	0.24

The first doubling of leverage is the efficient one here. LT Gain 200 earns materially more per year than the base strategy for a modest deepening of maximum drawdown, and MAR, return per unit of that drawdown, improves. The reason is structural: leverage is applied only during recoveries the Risk On test has already validated, and it comes off entirely on any Risk Off month.

Read the S&P 500 row as the reminder of what the exit rule is actually for. Both versions of LT Gain took roughly half the index's maximum drawdown.

Undiversified, and now levered

LT Gain's entire return stream is U.S. large cap or Treasuries. It is a concentrated single-market bet with a trend-following exit, not a diversified portfolio, and leverage does not change that. During a deployment the whole portfolio is one leveraged fund tracking one index.

Size it accordingly within a broader plan.

Who it is for

LT Gain 200 suits an investor who already wants LT Gain, holds international exposure elsewhere or does not want it managed for them, and accepts that during a deployment the entire portfolio moves at twice the index.

It is a poor fit if you would not hold base LT Gain on its own merits, if you want risk to come off in stages rather than all at once, or if you are investing in a taxable account and are sensitive to short-term gains.

LT Gain 300 runs the same module at 3x and additionally leverages the first month of the defensive position. It is a different risk proposition, not simply more of this one.

The base strategy in brief

LT Gain asks one question each month: is U.S. large cap beating cash on a weighted average of trailing 1, 3 and 6 month returns. If yes, it holds U.S. large cap at 100%. If no, it steps out entirely and the Treasury Duration Limiter decides what kind of safety to hold, stepping down to short duration when long Treasuries are themselves losing money and locking that choice for the rest of the defensive run.

The full rules, and how LT Gain compares to Global Navigator, are on the LT Gain strategy page.

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Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period. Leveraged ETFs carry risks beyond those of their unleveraged counterparts, including the effect of daily rebalancing on returns over holding periods longer than one day. Investors should carefully consider their risk tolerance and consult with a financial advisor.

For the latest details, visit www.DualMomentumSystems.com