QQQ mean reversion coding question

Broker Connectivity
1

Hey there. Looking to replicate a QQQ trading system from @QuantpT on Twitter. Basically the rules are…

Buy if QQQ

SMA(50) > SMA(125) &
ROC(5) < 0 for each of the last 5 days &
ROC(5) close < ROC(5) yesterday’s close

Sell if RSI(2) > 70

I’m getting a worse result than the author who runs the system on Amibroker and I wonder if my code is correct for summing the number of consecutive days with the ROC(5) < 0. His system may be selling the close with RSI(2) > 70 which I don’t think I can replicate here?

LoopSum(“ROC(5,0) < 0”, 5) = 5

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Screenshot_20211128-082607_Twitter.jpg
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2

Buy rules:
SMA(50) > SMA(125)
LoopMin(“ROC(5,Ctr)”,5) < 0
ROC(5) < ROC(5,1)

Sell rule:
RSI(2) > 70

Results are pretty nice overall - https://www.portfolio123.com/port_summary.jsp?portid=1664925 - but not in the last ten years.

3

It seems to me that;

LoopMin("ROC(5,Ctr)",5) < 0

should be

LoopSum("ROC(5,Ctr)<0",5)=5

No?

4

Yes, you’re right. Either that or LoopMax(“ROC(5,Ctr)”,5) < 0. Sorry about the error, and thanks for the catch!

5

Results with TLT when model is not in QQQ are good. Annualized return= 17% from 2000 to 2021. Max D/D= -23%

Ideal Number of Positions = 2
Reconstitution & Rebalancing Frequency = Daily
Position Weight Formula : 9.99ticker(“QQQ”)+0.01ticker(“TLT”)

Buy:
ticker(“QQQ”) & SMA(50)>SMA(125) & LoopSum(“ROC(5,Ctr)<0”,5)=5 & ROC(5)<ROC(5,1) | ticker(“TLT”)

Sell: ticker(“QQQ”) & rsi(2) > 70

QQQ mean reversion with TLT.png
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6

Thank you all for your help. My next question was going to be how to buy IEF when not in QQQ. Georg is in my head!

7

Shawn, you need to use the Position Weight Formula :
99.99ticker(“QQQ”) + 0.01ticker(“IEF”)

Ideal Number of Positions=2

IEF is never sold. So when model is not in QQQ it is in 100% IEF.

8

Roger that. TY. I only have the simulation level sub, so it won’t let me use position weighting, but I appreciate the result with TLT. My image was that the low exposure to equities would give a decent result if we allocate to treasuries when out of the market… I don’t suppose there is a way to run this without the simulation level subscription?

I’d like to run it with a basket of bonds when not in QQQ using trend following to pick duration.