Due to the nature of 3X etfs, it is always preferable to be short than long, all else being equal. Of course there are other things to consider....are you closing all positions at the end of the day, and therefore do not have to pay overnight borrow fees from your broker? Is the bid-ask spread (in percentage terms) drastically different between TQQQ and SQQQ? Do both tickers offer similar liquidity?
IB borrow cost is really low like below 2% and both are extremely liquid. Going to swing trades with holding from days to weeks.
I occasionally buy puts on SQQQ after a runup. For some reason I didn't take these trades, but my system had buys on 10/22 and 10/29. I could have bought the Nov 20P for about 1.33 on 10/22 and 1.00 on 10/29. And sold for about 2.00 on 11/5. So that was about a 50% and 100% gain in 5-10 days. Not all work out this well, but you get the idea.
I was bored so I used one of my recent QQQ strategies to see if going Long TQQQ or short SQQQ is more profitable. Backtest is from September 2019 to today. (This is just a curve fitted backtest, not claiming any real profitability here.) This does not include borrowing fees. Cumulative log returns using TQQQ: 258% Cumulative log returns using SQQQ: 294% So yes, it appears that with perfect shorting ability and zero borrow fees, shorting SQQQ is more profitable.
They’re both inefficient by design, so shorting SQQQ should be better since you’re profiting from both bullish market and built-in inefficiency of the instrument.