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Was there any work done to validate that DBE works (specifically) with QQQ?

There are a couple of problems.
This is a very rare signal, so it needs a whole lot of history to get an answer.
QQQ (and the Nasdaq itself) is not really that old.
So, the tests don't have the statistical support you might prefer.


QQQ and the Nasdaq 100 index are very odd, as they are so concentrated.
If the top few companies are in fashion the index rises, and the small fry don't matter.
And of course there are only 100 companies in it anyway.

However, you can do a test on the Nasdaq 100 Equal Weight.
It's easy to approximate this with a simple GTR1 screen of nas100.a=1" and a 63 day rebalance cycle.

In short, no, 99 days doesn't work very well even on the equal weight.
The bullish periods are better than the rest of the time, but only barely.
You get quite a good result switching to around 110 days for the timeout.
(no new 99 day high in 110 days)
Almost anything up to 190 works pretty well, or even 250. Best for long/cash seems to be ~210.
No new six month high in 210 days looks nice. It's long 90% of the time, but the *nice* 90%.
CAGR on bullish days since May 1985 = +17.0%
CAGR on bearish days since May 1985 = -30.8%
This is the entire set of signals in 35 years:
Sell 2001-01-25 and Buy 2003-05-06 (dodging a loss of -57.7%)
Sell 2008-08-14 and Buy 2009-04-24 (dodging a loss of -28.1%)
Sell 2016-04-22 and Buy 2016-07-11 (missed out on a +2.4% gain)


But because of the concerns above, I wouldn't assume that the future will work out so well.
You're tuning to way too few signals.

Zeelotes did a bunch of tests long ago, and the general conclusion was that for a lot of sub-indexes,
if you look only at the last few decades, a longer timeout than 99 days would have been better.

I have done tests on some commodities and futures, which tend to be much more jagged than equities.
For those, much shorter timeouts work better.
Gold, for example, has a remarkable amount of its total long term price rise within 3 days of a fresh recent high!

Jim
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