Conditionally Substitute SSO for SPY in SACEVS and SACEMS?

A subscriber asked about boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), by substituting ProShares Ultra S&P500 (SSO) for SPDR S&P 500 ETF Trust (SPY) in these strategies whenever:

1. SPY is above its 200-day simple moving average (SMA200); and,
2. The CBOE Volatility Index (VIX) SMA200 is below 18.

Substitution of SSO for SPY applies to portfolio holdings, but not SACEMS asset ranking calculations. To investigate, we test all versions of SACEVS, SACEMS and monthly rebalanced 50% SACEVS-50% SACEMS (50-50) combinations. We limit SPY SMA200 and VIX SMA200 conditions to month ends as signals for next-month actions (no intra-month changes). We consider baseline SACEVS and SACEMS (holding SPY as indicated) and versions of SACEVS and SACEMS that always hold SSO instead of SPY as benchmarks. We look at average gross monthly return, standard deviation of monthly returns, monthly gross reward/risk (average monthly return divided by standard deviation), gross compound annual growth rate (CAGR), maximum drawdown (MaxDD) and gross annual Sharpe ratio as key performance metrics. In Sharpe ratio calculations, we employ the average monthly yield on 3-month U.S. Treasury bills during a year as the risk-free rate for that year. Using daily unadjusted SPY and VIX values for SMA200 calculations since early September 2005 and monthly total returns for SSO since inception in June 2006 to modify SACEVS and SACEMS inputs, all through February 2023, we find that: