QQQ Bollinger Breakout
breakout
volatility
trend-following
equity
us
daily
A volatility breakout on the Nasdaq-100: go long QQQ when price closes above the upper Bollinger band (20-day, 2σ) and step back to bills (BIL) once it falls below the middle band. Buys strength, exits on loss of momentum. Invert the bands … Read more
Jan 1, 2007 — present
·
$10,000 initial
·
updated Jun 14
·
Live
Performance Summary
Total P&L
$-7.0K
Annualised Return
-6.08%
Sharpe Ratio
-0.61
Max Drawdown
−73.80%
Jan '07 – May '25
Simple Return
-70.46%
Win Rate
23.6%
Profit Factor
0.48
Volatility (Ann.)
9.52%
Period
1 Jan 2007 – Present
Initial Capital
$10K
Final Value
$3.0K
Total Return
-70.46%
Drift Tolerance
—
Rebalance Frequency
Daily
Equity PerformanceAll Time – Present
vs INDEX:SP:GSPCAlpha -7.8%Beta 0.21Outperformed 35.04% of months
Strategy
Monthly Returns% · green = positive · red = negative
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -3.86% | -3.14% | 0.00% | -1.29% | +1.25% | -1.81% | -3.67% | +0.43% | +3.53% | +7.01% | -6.69% | -6.49% | -14.5% |
| 2008 | +0.40% | +0.15% | +0.23% | -5.84% | +1.41% | +0.24% | +0.18% | -1.70% | +0.50% | -0.23% | -0.05% | +0.03% | -4.8% |
| 2009 | -6.75% | -8.85% | -1.04% | +13.02% | -3.51% | -3.60% | +2.94% | -2.06% | +0.77% | -4.16% | -0.04% | +0.09% | -13.9% |
| 2010 | +0.84% | -0.02% | 0.00% | -2.40% | +0.40% | +0.02% | -0.04% | 0.00% | +2.60% | +6.31% | -2.40% | -0.02% | +5.1% |
| 2011 | +0.08% | -4.32% | 0.00% | +0.22% | -3.83% | +0.01% | -1.58% | 0.00% | -0.02% | -0.04% | +0.02% | -0.02% | -9.2% |
| 2012 | -0.02% | +2.81% | -0.84% | -2.62% | 0.00% | -4.73% | -5.78% | +1.22% | -0.68% | +0.02% | -0.02% | +0.62% | -9.9% |
| 2013 | -0.99% | -4.65% | -1.71% | -2.79% | +0.13% | -0.87% | -0.44% | -1.38% | +0.10% | -3.62% | -4.20% | +2.91% | -16.4% |
| 2014 | -1.38% | +0.02% | -0.02% | 0.00% | +0.55% | +3.12% | +1.18% | -1.51% | -1.38% | -0.02% | -1.02% | -3.04% | -3.6% |
| 2015 | -0.02% | +0.36% | -4.01% | -3.37% | +0.28% | 0.00% | -2.77% | -2.42% | -0.04% | -0.63% | -3.97% | -0.02% | -15.6% |
| 2016 | +0.02% | 0.00% | 0.00% | +0.04% | -0.04% | -3.09% | +0.04% | 0.00% | -3.96% | -2.05% | -0.04% | +0.02% | -8.8% |
| 2017 | +0.82% | +4.33% | -0.33% | -0.38% | -1.04% | -2.39% | +0.03% | +0.11% | -2.91% | -3.17% | +0.88% | -2.71% | -6.8% |
| 2018 | +8.50% | -7.35% | +0.13% | +0.10% | -0.63% | +0.38% | +0.14% | +0.17% | -3.73% | +0.17% | +0.19% | +0.18% | -2.4% |
| 2019 | +0.17% | +0.20% | -1.38% | +5.32% | -2.76% | +0.18% | +0.18% | +0.17% | -2.52% | +0.16% | -0.92% | -0.56% | -1.9% |
| 2020 | +3.04% | -7.29% | +0.20% | +3.24% | +6.33% | +3.04% | -0.70% | +7.55% | -6.49% | -5.76% | -0.01% | +2.13% | +4.1% |
| 2021 | -6.33% | +1.30% | -0.01% | +1.09% | -3.26% | -0.02% | -1.95% | -1.22% | -4.41% | -0.01% | -0.02% | 0.00% | -14.2% |
| 2022 | 0.00% | -0.02% | +0.04% | -0.01% | +0.03% | +0.08% | +2.63% | -1.33% | +0.21% | +0.16% | +1.67% | -4.76% | -1.5% |
| 2023 | +1.26% | -1.07% | +4.08% | -4.09% | +2.28% | +3.31% | +0.34% | -3.08% | +0.39% | +0.43% | -0.07% | +1.11% | +4.7% |
| 2024 | -5.76% | +1.17% | -3.00% | +0.43% | -1.03% | +6.12% | -0.77% | +0.46% | +0.42% | +0.39% | -3.97% | -3.08% | -8.8% |
| 2025 | +0.34% | -5.17% | +0.32% | +0.33% | -0.78% | +6.18% | +2.35% | -3.90% | +0.50% | -1.53% | -3.57% | +0.33% | -5.0% |
| 2026 | +0.29% | +0.26% | +0.28% | +3.64% | +10.12% | -3.83% | — | — | — | — | — | — | +10.7% |
Holdings
ETF:NYSE_ARCA:BIL$2,928
99.1%-$28 (-0.9%)
1 position · $2,928
Insights
Insights generation not implemented yet