Strategy Report: Turn Around Tuesday on QQQ

| Strategy Description

Inspired by quantitativo : https://www.quantitativo.com/p/turnaround-tuesdays-on-steroids

Key StatisticsBacktestLiveBacktestLive
Runtime Days9321{{$KPI-DAYS-LIVE}} Drawdown37.1%{{$KPI-LIVE-DRAWDOWN}}
Turnover6%{{$KPI-LIVE-TURNOVER}} Probabilistic SR0%{{$KPI-LIVE-PSR}}
CAGR8.0%{{$KPI-LIVE-CAGR}} Sharpe Ratio0.4{{$KPI-LIVE-SHARPE}}
Capacity (USD)23M Sortino Ratio0.2{{$KPI-LIVE-SORTINO}}
Trades per Day0.1{{$KPI-LIVE-TRADES-PER-DAY}} Information Ratio-0.2{{$KPI-LIVE-INFORMATION-RATIO}}
Monthly Returns
Cumulative Returns
Annual Returns
Returns Per Trade
Asset Allocation
Drawdown
Strategy Report Summary: Turn Around Tuesday on QQQ
Daily Returns
Rolling Portfolio Beta
Rolling Sharpe Ratio
Leverage
Long-Short Exposure
Strategy Report Summary: Turn Around Tuesday on QQQ
DotCom Bubble 2000
September 11, 2001
U.S. Housing Bubble 2003
Global Financial Crisis 2007
Flash Crash 2010
Fukushima Meltdown 2011
U.S. Credit Downgrade 2011
ECB IR Event 2012
European Debt Crisis 2014
Market Sell-Off 2015
Recovery 2010-2012
New Normal 2014-2019
COVID-19 Pandemic 2020
Post-COVID Run-up 2020-2021
Meme Season 2021
Russia Invades Ukraine 2022-2023
AI Boom 2022-Present
Strategy Report Summary: Turn Around Tuesday on QQQ
Parameters
lowPeriod 1 highPeriod 19
tradeCalls 0 callDelta 50
callDTE 10