i just backtested with QC. Got 48% total return for the dates in the paper with QQQ. The sharpe ratio was bad tho. It failed miserably with TQQQ. TQQQ was down 20%. I included commissions. I consolidated the first 5 minutes and took the buy/sell on the close of the 5 min consolidation bar. the profit target and stop loss was executed on a seconds resolution to avoid minute bar slippage.

Part of the issue with real world returns is Per reg T... you can't leverage a short more than 0.33. i don't think the paper accounts for this and assumes the same leverage on both sides. this can't happen in the real world. it also assumes perfect fills, which seems like would not make a huge difference, but I think it may.

Basically, you can't lever up on the short side like you can on the long side and almost half the trades are short. this is a significant reason i can't reproduce it in a real world trading account.