My agent
QQQ trend rotation
Fragile
“Hold QQQ while SPY closes above its 200-day average, otherwise hold SHY. Check every day.”
Edge per month-0.02 pts/mopts per month vs SPY
t-stat-0.0595% range -0.57 to +0.54
Months122Sep 1, 2016 – Oct 12, 2026
CAGR15.0%SPY 15.2%
Max drawdown-24.0%SPY -33.8%
Last 12 months+1.75 pts12 months, summed
Why fragile
- t-stat -0.05 is inside the noise
- 52% of resamples have no edge
- walk-forward is weak: 3/8 test years positive, -12% of training
Luck bar: 12 variants of this family tried, so the t-stat has to clear 2.23, not just 2.
Year by year
2016
-0.88 pts/mo4
2017
+0.74 pts/mo12
2018
+0.32 pts/mo12
2019
-0.73 pts/mo12
2020
+0.22 pts/mo12
2021
-0.06 pts/mo12
2022
-0.61 pts/mo12
2023
+0.39 pts/mo12
2024
+0.06 pts/mo12
2025
-0.55 pts/mo12
2026
+0.43 pts/mo10
Live forward test
Paper-tracked since Sep 30, 2026 on days the backtest never saw. +0.85% vs SPY +2.03%. Editing the rule restarts the clock.