CLAUSE · BACKTEST REPORT · HYPOTHETICAL PERFORMANCE

QQQ Volatility Regime Switch with Trailing Stop

“Hold QQQ at 100% when its 20-day realized volatility is below 25%, and go entirely to cash when it is above. Evaluate daily. Use a 10% trailing stop.”

Tested over September 2024 to August 2026. On data sealed Aug 9, 2026. Published 10 August 2026.

The contract

1. Universe. Trade only QQQ.
2. Signal. Each trading day at 09:35 ET, read the qqq_rvol_20: realized_vol of QQQ.
3. Entry. If qqq_rvol_20 falls below 25, set the target allocation of QQQ to 100%.
4. Exit. If qqq_rvol_20 is at least 25, sell all QQQ.
5. Risk. trail a stop 10% below the high-water mark.

Equity vs SPY buy-and-hold

STRATEGYSPY BUY-AND-HOLD▲▽ FILLSlinear scale

Tear sheet

TOTAL

+49.4%

CAGR

+23.4%

VOL

16.4%

SHARPE

1.37

SPY SHARPE

–

BUY-AND-HOLD SHARPE

–

SORTINO

1.95

MAX DD

−14.6%

LONGEST DD

–

BETA

0.22

GROSS

–

GROSS MAX

–

NET

–

LONG

–

SHORT

–

TRADES

TURNOVER

–

COST DRAG

–

CAPACITY

–

FINAL VALUE

$149,349 from $100,000

Per-clause attribution

Each number re-runs the backtest with that clause removed and shows what it contributed, so they do not add up to the total.

Clause 3

+49.4%

Clause 4

+13.2%

About these numbers

Window

Tested from Sep 10, 2024 to Aug 7, 2026. On a copy of the market sealed Aug 9, 2026.

Costs

Every fill pays spread and slippage. This run predates the written cost model; run it again to see the assumptions key by key.

Attribution

Each clause's share of the result is measured by re-running the backtest without it.

Hypothetical performance on historical data. The same contract on the same data and cost model reproduces this number exactly. Backtests are not indicative of future results.