Absolute Momentum (ROC) — Nasdaq-100 ETF (QQQ) strategy backtest
Long while the 6-month rate-of-change is positive; flat when it turns negative.
A curated strategy — a well-known mechanism with sensible risk management built in. Still not a recommendation — it's a mechanism you test yourself.
- • Buys when Rate of change (momentum %)(126) crosses above 0.
- • Sells when Rate of change (momentum %)(126) crosses below 0.
- • Uses a volatility (ATR×3 over 14 bars) stop.
- • Sizes each trade to risk ~2.0% of capital to the stop (a gap through it can cost more).
| Worst drawdowns · peak → trough | Depth | To trough | Underwater | Recovered |
|---|---|---|---|---|
| 2021-12-27 → 2023-03-09 | -6.1% | 437d | 533d | yes |
| 2019-05-03 → 2020-04-03 | -4.9% | 336d | 475d | yes |
| 2024-07-10 → 2024-08-07 | -4.5% | 28d | 111d | yes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | · | · | · | · | · | · | · | · | · | · | |||
| 2017 | |||||||||||||
| 2018 | |||||||||||||
| 2019 | |||||||||||||
| 2020 | |||||||||||||
| 2021 | |||||||||||||
| 2022 | |||||||||||||
| 2023 | |||||||||||||
| 2024 | |||||||||||||
| 2025 | |||||||||||||
| 2026 | · | · |
Tap a month for the strategy return, the buy-&-hold return and the exact excess.
How this is computed → (closed-bar, costs on, vs buy & hold — the full method.)
Past performance is not a reliable indicator of future results. This is an educational, analytical tool — not investment advice, and not a recommendation to buy or sell anything. You make all decisions and execute on your own broker.
Hypothetical performance disclaimer (CFTC Rule 4.41)
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.
- Data
- Yahoo Finance daily OHLC (crypto = aggregate USD reference), split-adjusted. Recomputed on each run.
- Costs
- A flat 0.05% per side on every entry and exit (costs & slippage). No leverage.
- Execution
- Signals act on the next open after a bar closes — never on a price you couldn't have known.
- Look-ahead & survivorship
- Indicators use closed bars only; the forming bar is dropped. Survivorship is labelled, not hidden.
- Benchmark
- Measured against buy & hold of the same asset over the same window.
- What it isn't
- Not advice, not a prediction, no profit claim. We hold no funds and place no orders.