TQQQ Signals Equity

TQQQ Signals-Daily

These TQQQ signals would have performed around 6.6 times better than buy-hold with an ROI of 1530% for the period 18-Aug-16 to 21-Sep-18

TQQQ Signals

The trading signals for TQQQ were selected for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the TQQQ signals

For the 528 day (2.1 year) period from Aug 18 2016 to Sep 21 2018, these signals for TQQQ traded both long and short would have yielded $152,973 in profits from a $10,000 initial investment, an annualized return of 279.8%. Traded long only (no short selling) the signals would have returned $66,873, an annualized return of 165.1%. 82.8% of time was spent holding stock long. The return would have been $23,205 (an annualized return of 77.5%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 293 buy signals and 21 sell signals for this particular TQQQ strategy .These led to 21 round trip long trades of which 18 were profitable, and 20 short trades of which 17 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 20% for long-short and 20% for long only. This compares to 31% for buy-hold. The reward/risk for the trading long and short was 11.11 compared to 2.14 for buy-hold, a factor of 5.2 improvement. If traded long only, the reward/risk was 6.56. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7. Returns have been adjusted for the worst case effects of 8 dividends.

TQQQ Signals Daily-List of trades

Day Buy/Sell Price
9/17/2018 Buy $68.62
9/14/2018 Sell $69.79
9/7/2018 Buy $65.36
8/28/2018 Sell $70.32
6/26/2018 Buy $57.73
6/21/2018 Sell $63.78
5/2/2018 Buy $49.65
4/27/2018 Sell $50.83
4/25/2018 Buy $45.89
4/18/2018 Sell $52.80
3/26/2018 Buy $49.67
2/27/2018 Sell $58.75
2/7/2018 Buy $51.02
1/24/2018 Sell $59.67
12/20/2017 Buy $48.62
12/19/2017 Sell $48.69
11/20/2017 Buy $44.81
11/17/2017 Sell $45.30
11/13/2017 Buy $44.11
10/30/2017 Sell $42.45
8/18/2017 Buy $35.06
8/15/2017 Sell $37.25
8/11/2017 Buy $35.03
7/20/2017 Sell $37.54
7/14/2017 Buy $35.46
7/13/2017 Sell $34.95
6/21/2017 Buy $34.29
6/20/2017 Sell $34.79
4/26/2017 Buy $31.22
4/25/2017 Sell $30.82
2/1/2017 Buy $25.03
1/26/2017 Sell $25.15
11/9/2016 Buy $19.74
11/8/2016 Sell $20.00
10/26/2016 Buy $21.22
10/25/2016 Sell $21.87
10/20/2016 Buy $20.85
10/19/2016 Sell $20.90
9/26/2016 Buy $20.91
9/23/2016 Sell $21.60
8/22/2016 Buy $20.60
TQQQ Signals Equity

TQQQ Signals-Weekly

These TQQQ signals (weekly) traded as directed would have performed around 20.8 times better than buy-hold with an ROI of 85,602% for the period 08-Feb-10 to 14-Sep-18

TQQQ Signals Weekly

TQQQ signals (weekly) shown above were chosen for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the TQQQ signals

For the 449 week (8.6 year) period from Feb 8 2010 to Sep 14 2018, these signals for TQQQ traded both long and short would have yielded $8,560,235 in profits from a $10,000 initial investment, an annualized return of 119.5%. Traded long only (no short selling) the signals would have returned $2,085,458, an annualized return of 86.3%. 78.7% of time was spent holding stock long. The return would have been $411,810 (an annualized return of 54.6%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 108 buy signals and 22 sell signals for this particular TQQQ strategy .These led to 18 round trip long trades of which 15 were profitable, and 18 short trades of which 14 were profitable. This is a weekly strategy; weekly OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per week.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 36% for long-short and 29% for long only. This compares to 44% for buy-hold. The reward/risk for the trading long and short was 2.89 compared to 1.11 for buy-hold, a factor of 2.6 improvement. If traded long only, the reward/risk was 2.54. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

TQQQ Trading Strategy (Weekly)

Today I present two TQQQ trading strategy backtest results with weekly setup with similar reward-risk but very different characteristics. TQQQ is the ProShares UltraPro QQQ, a triple leveraged ETF tracking the Nasdaq. The backtests were for the 288 weeks 2/11/10 through 8/14/15.

The first trading strategy was found by optimizing the scanner for low drawdown, (per Prasad’s request):

Backtest results for weekly TQQQ trading strategy showing low (8%) drawdown. The backtest is for the period 2/11/10 to 8/14/15.

This strategy gave similar return to buy/hold with much lower drawdown (8% vs. 41%). It only spent 42% of the time in the market, so it was quite efficient. The user defined price is found by averaging the open price of the current week, the previous week’s low price and the previous week’s high price. Here is the equity curve:

Equity curve for the low drawdown TQQQ trading strategy backtest. Return is about the same as buy/hold.

These results were corrected 1-4-2016 to fix the short-hold return.

The second TQQQ trading strategy backtest was found by optimizing the SignalSolver scanner for returns:

This is a long & short strategy when you are were always in the market either long or short. The equity curve shows that this was not a frequent trader, in fact no trades since Dec 2011:

List of trades: TQQQ.W RR .

Andrew

Please note: All trading strategies are backtested on a single security and will typically not give similar results on other securities. All returns are compounded. Trading costs are assumed to be $7.00 per trade with zero slippage.

The posting was corrected 12/29/2015 for an error in the short-side returns of the BMS ACO algorithm.

Update 10-20-2016

BMS ACO has continued to track buy-hold with no trades adding 7.45%.

TQQQ Trading Strategy Update Oct 20th 2016

TQQQ Trading Strategy Update Oct 20th 2016

This strategy peaked 11/30/2015.