REDEMPTION v1.1 — QQQ + SPY leveraged-ETF trend/dip system

Systematic, daily, long-only strategy on leveraged ETFs tracking the Nasdaq-100 and the S&P 500. Two independent "sleeves" (QQQ and SPY) with identical rules, run inside one instance and one account. No parameters are meant to be optimized.

Universe

All signals are computed on the unleveraged index (QQQ / SPY); execution happens on the leveraged ETF. Capital is split 50/50 between the two sleeves at first start, each tracked in its own internal ledger, with no rebalancing.

Indicators (daily closes of the signal index)

• SMA200 — arithmetic mean of the last 200 closes.
• RSI14, simple-average version — 100 − 100/(1 + U/D), with U and D the arithmetic 14-day averages of daily gains and losses. This is not Wilder's RSI.
• Green day — today's close above yesterday's close.

Rules

Leg A — trend (QLD / SSO)

• Enter after the index closes above its SMA200 for 2 consecutive sessions.
• Exit after the index closes below its SMA200 for 2 consecutive sessions.
• If leg A triggers while leg B is open: sell the 3x first, buy the 2x at the next session once the sale has filled.

Leg B — dip (TQQQ / UPRO) — active only while leg A is flat

• Enter when RSI14 of the index is < 30.
• Exit on the first green close after entry, or on the 10th session held if no green close has come.
• If RSI14 is still < 30 after the exit, the sleeve re-enters (selloffs come in clusters).
• No take-profit, no stop-loss (tested: TP inert, SL neutral or harmful).

Stress overlay (v1.1) — leg A only

• Triggers when VIX > 30, or VIX / VIX3M ≥ 1.05 (term-structure backwardation).
• If in leg A: exit. While stress persists, no new leg-A entries, even if the SMA200 signal allows it. Once it clears, leg A resumes under its normal rules.
• Leg B is never touched: high VIX is its best environment.
• If VIX3M is unavailable, only the VIX > 30 test is used.

Outside both legs the sleeve is in cash.

Execution and sizing

• Signals are read after the daily close. Orders are market orders accepted by the broker and typically fill at the next open (the spec prefers executing at the close; next-open execution costs roughly 3 CAGR points per year in the reference research).
• Sizing: the sleeve's full equity goes into the active leg, no pyramiding, capped by the cash the account actually has times the cash utilization % parameter. A change of leg is two steps: sale first, purchase at the next session.
• One order at a time per sleeve; the leg changes only when the broker reports a fill. A rejected order is logged and the rules are re-evaluated at the next session.
• Because entries are sized at the last close but fill at the next open, a gap up makes the order spend slightly more than the sleeve.

Parameters

Reference results (from the research, not from Luxis)

Starting at $5,000 per sleeve, real ETFs, Feb 2010 → Sep 2026, v1.1:

• QQQ sleeve: $1.57M, CAGR +41.5%, max drawdown −35% (Dec 2018), 16/17 positive years.
• SPY sleeve: $161k, CAGR +23.3%, max drawdown −39%, 14/17 positive years.
• Synthetic combined 2000–2026 (5k + 5k): CAGR +25.4%, max drawdown −51%, 24/27 positive years.
• Time in market (QQQ, real): trend leg 81%, dip leg 3%, cash 16%.
• Leg B hit rate: about 74% (QQQ), 82% (SPY).

These are in-sample research numbers on a very strong period for leveraged tech. The VIX overlay's gain is concentrated in 2020 (exit in late Feb 2020, before the crash), and to a lesser extent in 2018 and 2010. The walk-forward verdict, not these figures, is the evidence for the strategy.

Known limits

• Overnight gap risk: a gap down of more than 25% on the index would mean a loss of about 75% on a 3x ETF.
• Regime risk: in a sideways market with slow declines, leg B bleeds.
• Realistic expectation: roughly half of the backtested CAGR with the same drawdown, and about one year in four negative.
• Break thermometers: leg B hit rate below 65% over 30 trades; more than 6 consecutive whipsaws on leg A.
• Not in the backtest: taxes, real costs above about 2 bp per trade, and the broker's buying-power cushion on market orders.
• Shared account: both sleeves live in one account, so simultaneous entries compete for the same cash; the cash utilization setting must leave room for both.