CLAUSE · BACKTEST REPORT · HYPOTHETICAL PERFORMANCE

QQQ volatility regime

“Take equity risk only in calm regimes: hold QQQ while 20-day realized volatility is under 25%, cash above, 10% trailing stop.”

Tested over September 2024 to August 2026. On data sealed Aug 21, 2026. Published 23 August 2026.

The contract

1. Universe. Trade only QQQ.
2. Signal. Each trading day at 09:35 ET, read QQQ’s 20-day realized volatility.
3. Entry. If qqq_rvol falls below 25, set the target allocation of QQQ to 100%.
4. Exit. Otherwise, set the target allocation of QQQ to 0%.
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

MARGIN NOTES

the strategy filled 24 orders in the whole window — the sample is thin

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 21, 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.