ndxlab
Rules-based investing · public research model

One trend rule. Zero discretion.

Month-End 200-Day SMA: if the signal is on at your start date—or turns on later—enter at your chosen QQQ / T-bill mix and hold; when it turns off, exit to 0% QQQ / 100% T-bills. The slider sets risk preference at entry, not a monthly rebalance target. Data through , refreshed once at the start of each month.

Controlled rule check · QQQ 2000-01 to 2026-08 · both rules observed only at month-end · next-session execution · 75/25 entry preference · 10bp turnover cost.
Annualized return
8.00% → 8.31%
month-end 10M → month-end 200D
Max drawdown
32.59% → 32.59%
same measured full-sample drawdown
Risk-off exits
25 → 22
fewer historical state changes
Explore a scenario

Hypothetical capital, start & entry mix

$

Public market signal

Current model action

The outcome

Strategy return vs QQQ

Month-End 200-Day SMA 100% QQQ benchmark

Every modeled move

Simulated monthly ledger

Decision dayActionTradeCostQQQCashTotal wealth

One row per decision day, newest first.

How the rule worksone monthly signal, one entry preference, zero rebalancing while on

Month-End 200-Day SMA: at each month's final U.S. trading close, compare the dividend-adjusted QQQ close with the simple average of the 200 trading-day closes ending on that date. When the signal switches on, buy at the selected QQQ / T-bill mix on the next trading session. While it stays on, make no trade and let both weights drift. When it switches off, sell QQQ and hold 100% 3-month T-bills.

The reference entry mix is 75% QQQ / 25% T-bills. The slider is the trader's risk preference for initial entry and re-entry; it is neither a maintained cap nor a monthly target. The risk-off allocation remains 0% QQQ / 100% T-bills. Trades are charged 10 basis points per 100% of portfolio turnover. No forecasting optimization is applied to the slider setting.

Why the model specification changed (2026-07): deploying the whole hypothetical capital at once beat spreading it over 60 months in about 4 of 5 historical windows, and at matched average exposure a mechanical cash buffer protected the worst cases better than the signal-driven reserve it replaces — the signals fired at a real bottom exactly once in 27 years (2008-11 … 2009-04) and spent the reserve mid-crash in 2000–2002.

Why the trend rule changed (2026-08): with both rules frozen to the same month-end decision schedule, the 200-day average used more daily path information, raised historical CAGR from 8.00% to 8.31% after 10bp costs, matched the measured −32.59% maximum drawdown, and reduced exits from 25 to 22. The two signals agreed in 315 of 320 months, so the observed advantage remains small and sample-dependent.

The honest caveatswhat this model does not protect
  • Single-index concentration is the unhedged tail. The equity side is 100% Nasdaq-100. A Japan-1989-style multi-decade stagnation is not fixed by rebalancing, by schedules, or by signals — only by diversification, which this model deliberately does not do. That concentration is an explicit research assumption.
  • The model-selection edge is small. Month-end 10M and month-end 200D agreed in 315 of 320 tested months. The 200D rule's higher historical return came from five disagreement months and may disappear out of sample.
  • QQQ history is limited. The controlled production-rule comparison begins in 2000 because QQQ launched in 1999 and needs 200 prior trading closes. Older broad-market monthly evidence uses a different series and does not directly validate this exact 200-day calculation.
  • Turnover and tax matter. The simulations include 10bp per 100% of portfolio turnover, while taxes, bid-ask spread, fund fees and execution delay remain unmodeled. The month-end 200D production rule turned over about 125% of portfolio value per year in the 2000–2026 test.
  • The trend rule can whipsaw. Tests across 180–220 trading days found that the best lookback changed across eras. Two hundred days is a fixed production choice; the sample does not establish a unique optimum.
  • Monthly granularity. Curves and drawdowns use one point per decision day; true intraday drawdowns run deeper.
  • Specification history. The original three-signal model, TQQQ sleeve, 60-month deployment schedule and monthly Constant-Mix variant were retired after independent re-tests. The current page uses 75/25 only as the default entry preference and applies the month-end 200-day trend exit tested on QQQ since 2000. Every version remains in the repository history.
  • A backtest is not the future. This is public quantitative research. All capital, holdings and trades shown are hypothetical — not investment advice.