I have run backtests similar to yours going back from 1926 to 2017 on US data, as well as UK data going back a century plus Greece and Brazil data for tail event testing. What I discovered is that 'balance' is achieved by building a Taleb like 'barbell portfolio'. You have arrived at the same conclusion, you are just not seeing it. A 20% stock 20% gold and 60% bond portfolio is a taleb barbell, bonds 'mixed' with gold are a very stable store of value while stocks are a high return high drawdown asset. At that 80/20 balance (80% bonds/gold balanced at a 3-1 or 4-1 ratio) with 20% stocks tend to achieve higher risk adjusted returns than other portfolios. Although I my own testing I recalled achieving better performance (measured by Sortino, Gain to Pain and other metrics) with higher stock allocations.
As far as leverage is concerned, its a tricky thing because it carries massive tail risks. In a Greek scenario a 2-1 leverage leads to a blow up quite fast (stocks went down 95%+ and bonds -70%, 20% gold was not enough to save the day), Brazil also had periods like that. But one could say 'The US is not like those countries, its safe to lever up here' (that is what Ray Dalio thinks and what he does in his All-Weather hedge fund), maybe, or maybe not. Even in the UK in the 70's the drawdowns that a highly levered portfolio would have that were huge (bonds and stocks collapsed massively, the pound also went down huge).
In my view, if you want to lever up like that consider doing the following
-Using a GLOBAL portfolio instead of a US centric one. So global stocks, global bonds and gold
-Limit leverage to 1.3/1.4, both to cut down tail risks and for sanity purposes. higher leverage ONLY make sense AFTER markets are down massively (2009), after a decade of a bull market it aint the time to be thinking of levering up assets
-Use whatever instrument minimize taxes and transaction costs, whether its futures/options/margin debt it will depend on your specific situation
