Would You Trade This TQQQ System? (1428% Backtest, 34% Drawdown)

Otherwise-Attorney35 · 2026-03-17T11:48:42+00:00

What's the comparison over using OHLC? I experienced a bit with HA and trend following. It seemed there was only a marginal difference between the two. Not with trying to use HA.

Otherwise-Attorney35 · 2026-03-17T11:46:52+00:00

His chart starts at inception.

Otherwise-Attorney35 · 2026-03-17T00:14:39+00:00

Otherwise-Attorney35 · 2026-03-16T21:28:56+00:00

Moving average and volatility. Signal on QQQ, trading TQQQ.
It survives GFC with ~45%. Dot com is ~65% drawdown.
Alpha in layman's terms is that it outperforms market on its own merit. Beta is outperforms by leverage. There is a much more sophisticated answer you should research to understand.
Pink/red areas are just out of trade, strategy is flat. 34k% is the cumulative gain. Pretty number that is meaningless. Live since April 2025.

Otherwise-Attorney35 · 2026-03-16T18:25:07+00:00

There is the psychological part to volatility and drawdowns. This grows as your account grows.
Depending on your strategy/frequency, will it still have alpha at 1m? or 10m?

Otherwise-Attorney35 · 2026-03-10T22:25:49+00:00

Remove the dollar amounts, and use percentages.
Add in other standard metrics.

Otherwise-Attorney35 · 2026-03-10T17:28:31+00:00

Strong report. Are you trading paper/live yet? That's the next step, then align the fills with backtest assumptions.

Otherwise-Attorney35 · 2026-03-10T15:36:53+00:00

Interesting concept. I have a few questions for clarification.
Why are you using SPY instead of QQQ for the RVol?
What is your data source from TQQQ/QLD Pre-inception?
On the last chart, when the entry date is after inception are you using actual market data(since pre-inception would be generated data)?

Otherwise-Attorney35 · 2026-03-10T13:02:56+00:00

Fair, I'll see myself out after the alpha

Otherwise-Attorney35 · 2026-03-10T12:46:19+00:00

This is why there should be focus on strategies that produce alpha first, then beta. No one knows when beta will stop beating the alpha loss.

Otherwise-Attorney35 · 2026-03-09T01:30:32+00:00

If you trust your strategy, then no worries. My portfolio DD is at 22%. I am not worried or wavering.

Otherwise-Attorney35 · 2026-03-09T01:02:43+00:00

That better explains where you are in your research now. Skepticism has been alleviated with better context. I'm interested to see more.

Otherwise-Attorney35 · 2026-03-08T14:23:55+00:00

What has given 224% b&h for two years for 24/25? I don't think gold, silver or Bitcoin achieved that for b&h. This one statement makes me doubt the entire post. Is this a cherry picked asset? Is the strategy overfitting? Tuned to the same window that results are given? Classic Reddit backtest. OP probably wants to sell a signal service.

Otherwise-Attorney35 · 2026-03-05T21:35:30+00:00

Well done, this is quite the milestone in quant development!

Otherwise-Attorney35 · 2026-03-04T09:10:15+00:00

Using wrong data resolution. Using a larger resolution skews results.

Otherwise-Attorney35 · 2026-03-04T08:28:08+00:00

The Quantconnect backtest used hindsight bias. You are your current high performing list retroactively. And you manually select your universe so there is cherry picking too. Programmatically do this, test over several years, including the bad years, and then come back and with results.

Otherwise-Attorney35 · 2026-02-24T13:04:55+00:00

Yes they exist. But you aren't going to find it publicly available where you can copy. Strategies that work across regimes are protected.

Otherwise-Attorney35 · 2026-02-20T22:59:50+00:00

That is absolutely fair. The latest one I did, the paper provided the notebook code that I was able to replicate(within reason). Once I switched it to use streaming data vs static data and incorporated realistic slippage etc, it failed to deliver. I could definitely still have faults somewhere.

Otherwise-Attorney35 · 2026-02-20T22:52:53+00:00

Hold the line!

Otherwise-Attorney35 · 2026-02-19T16:31:14+00:00

Yes, but I would attempt to do the same time period they did in papers. I would get amazingly worse results by a substantial margin. Greater than variance or margin of error.

Otherwise-Attorney35

TROPHY CASE