Strategy: Exploiting Overnight Drift in QQQ #1

Trades generated by this strategy are available to paid subscribers

This is a long-only mechanical trading strategy designed for the QQQ, an ETF tracking the NASDAQ 100 stock index. It can alternatively be traded using options on QQQ or e-mini (full-sized or micro-sized) NASDAQ futures.

This strategy combines:

1. Overnight drift phenomenon

2. Mean reversion in an uptrend

3. Monthly and weekly index seasonalities

This strategy typically triggers multiple times a year, but the average hold period is only 1 day. Even when holding for such a short period of time, price appreciation returns of this strategy are almost on par with the buy-and-hold approach.

In other words, it provides long QQQ exposure while requiring the allocation of an investor’s capital only for a tiny fraction of time. This feature is by design and it's meant to be traded within a portfolio of multiple strategies to allow fast capital compounding.

The P&L chart of this strategy looks as follows (QQQ, no leverage, $100K account):

Strategy statistics:

• Net Profit: 665.84%

• Max Drawdown: 12.99%

• Total Closed Trades: 823

• Percent profitable: 55.89%

• Profit factor: 1.51

• Avg # Bars in Trades: 2

This strategy is based on daily timeframe data and triggers near the session close.

TradeMachine subscribers receive email alerts with position updates each time this strategy enters or exits a trade. Some strategies include take-profit and stop-loss price levels.

Past performance is not indicative of future results. Results based on simulated or hypothetical performance have certain inherent limitations. All posts are subject to the disclaimer on the About page.

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