QQQ
Invesco QQQ Trust Series 1
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-11
Executive Summary
The quantitative backtest for QQQ (Invesco QQQ Trust Series 1) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -29.3% (compared to the benchmark's drawdown of -60.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 15.1%, compared to a Buy-and-Hold benchmark return of 11.8%. The strategy executed 20 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for QQQ:
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA Active Model
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for QQQ:
🛡️ Long-Term Investing Active Horizon
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
🛡️ QQQ Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-29.3% (vs -60.7% B&H)
+31.4% shallower drawdown
Downside Efficiency
0.97 Sortino
+0.37 vs 0.60 B&H
Capital Sheltered from Risk
17.2% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 QQQ Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -11.96% | -11.96% | -27.64% | -35.12% | -27.64% | -35.12% | -29.33% | -60.71% |
| Sharpe Ratio | 1.06 | 1.06 | 0.74 | 0.59 | 1.09 | 0.84 | 0.80 | 0.46 |
| Sortino Ratio | 1.57 | 1.57 | 0.99 | 0.83 | 1.39 | 1.05 | 0.97 | 0.60 |
| CAGR | 23.00% | 23.00% | 15.18% | 14.39% | 23.03% | 20.75% | 15.06% | 11.83% |
| % Time Invested | 100.0% | 100.0% | 89.0% | 100.0% | 93.2% | 100.0% | 82.8% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.7 | 0.0 | 0.8 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for QQQ... Top Diversifiers for QQQ
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Subscribe to Unlock | ||||||||
| 2025-04-01 | 2025-04-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-08-28 | 2025-04-01 | Completed | 100% | $471.35 | $464.54 | -1.49% | Stop | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-01-18 | 2024-08-06 | Completed | 100% | $277.44 | $432.69 | 55.88% | Stop | |
| 2022-10-24 | 2023-01-18 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.99% | Interest Income | |
| 2022-10-17 | 2022-10-24 | Completed | 100% | $260.87 | $269.52 | 3.26% | Signal | |
| 2022-09-23 | 2022-10-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-05-20 | 2022-09-23 | Completed | 100% | $285.51 | $271.34 | -5.01% | Stop | |
| 2022-04-28 | 2022-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-02-16 | 2022-04-28 | Completed | 100% | $344.20 | $313.48 | -8.97% | Stop | |
| 2022-01-25 | 2022-02-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2022-01-25 | Completed | 100% | $173.56 | $337.24 | 94.21% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2018-12-17 | 2020-03-02 | Completed | 100% | $152.70 | $201.08 | 31.62% | Stop | |
| 2018-11-21 | 2018-12-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-12 | 2018-11-21 | Completed | 100% | $90.60 | $153.62 | 69.47% | Stop | |
| 2016-01-21 | 2016-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-21 | Completed | 100% | $98.72 | $93.89 | -4.95% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $48.57 | $94.19 | 93.85% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 100% | $39.43 | $45.10 | 14.32% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-17 | 2010-05-07 | Completed | 100% | $32.30 | $40.12 | 24.15% | Stop | |
| 2008-10-08 | 2009-07-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2008-09-30 | 2008-10-08 | Completed | 100% | $32.48 | $27.51 | -15.34% | Stop | |
| 2008-09-08 | 2008-09-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2008-02-04 | 2008-09-08 | Completed | 100% | $39.16 | $37.88 | -3.33% | Stop | |
| 2008-01-10 | 2008-02-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2007-05-31 | 2008-01-10 | Completed | 100% | $40.56 | $40.75 | 0.42% | Stop | |
| 2007-04-16 | 2007-05-31 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.61% | Interest Income | |
| 2006-08-07 | 2007-04-16 | Completed | 100% | $31.56 | $38.43 | 21.69% | Signal | |
| 2006-07-14 | 2006-08-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.32% | Interest Income | |
| 2004-08-31 | 2006-07-14 | Completed | 100% | $28.68 | $31.04 | 8.18% | Stop | |
| 2004-08-09 | 2004-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2003-08-20 | 2004-08-09 | Completed | 100% | $27.05 | $27.66 | 2.20% | Stop | |
| 2001-05-18 | 2003-08-20 | Interest (CASH) | 100% | $1.00 | $1.04 | 4.05% | Interest Income | |
| 2001-04-04 | 2001-05-18 | Completed | 100% | $29.25 | $40.14 | 37.18% | Signal | |
| 2001-03-13 | 2001-04-04 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2001-03-02 | 2001-03-13 | Completed | 100% | $39.77 | $36.05 | -9.41% | Stop | |
| 2001-02-28 | 2001-03-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |