BACKTEST · VOLATILITY
ATR breakout / ATR stop
QQQ one-day gain larger than ATR(14); 2 ATR stop and 3 ATR target from entry.
From 2015-01-02 to 2024-12-31, this rule made 109 trades and returned +84.9%. Buying and holding SPY returned +185.3% over the same dates. The largest drop from a past high was 36.4%.
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SCORE
Portfolio equity vs benchmark
The rule
QQQ one-day gain larger than ATR(14); 2 ATR stop and 3 ATR target from entry. Orders fill at the next open.
ENTER WHEN
One-day gain larger than ATR(14)
EXIT WHEN
2 ATR stop or 3 ATR target
FIRST TRADE, FROM THE REPORT
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Did it beat SPY?
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How it did over time
Strategy in orange-red. SPY buy and hold in light.
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The same result in an AI chat
This is how the result looks when an AI agent such as Claude or ChatGPT runs it. It uses the same engine report.
Strategy equity in orange-red, SPY in light. Historical test only.
Every trade
109 trades and 218 fills, straight from the engine report. Each fill shows the day the signal fired, the day it filled, and why. This run used 0 bps fees and 0 bps slippage on each fill, except when a modeled option expires. A basis point (bps) is one hundredth of one percent.
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2015-03-16 | 2015-03-17 | QQQ | Buy | $106.41 | entry |
| 2015-04-24 | 2015-04-24 | QQQ | Sell | $110.21 | target |
| 2015-04-24 | 2015-04-27 | QQQ | Buy | $110.95 | entry |
| 2015-04-30 | 2015-04-30 | QQQ | Sell | $108.52 | stop |
| 2015-05-01 | 2015-05-04 | QQQ | Buy | $109.40 | entry |
| 2015-05-06 | 2015-05-06 | QQQ | Sell | $106.76 | stop |
| 2015-05-14 | 2015-05-15 | QQQ | Buy | $109.86 | entry |
| 2015-06-29 | 2015-06-29 | QQQ | Sell | $107.18 | stop |
| 2015-07-10 | 2015-07-13 | QQQ | Buy | $108.58 | entry |
| 2015-07-17 | 2015-07-17 | QQQ | Sell | $112.84 | target |
| 2015-08-26 | 2015-08-27 | QQQ | Buy | $104.53 | entry |
| 2015-10-30 | 2015-10-30 | QQQ | Sell | $114.06 | target |
| 2015-11-16 | 2015-11-17 | QQQ | Buy | $111.61 | entry |
| 2016-01-04 | 2016-01-04 | QQQ | Sell | $108.59 | stop |
| 2016-01-22 | 2016-01-25 | QQQ | Buy | $103.46 | entry |
| 2016-02-05 | 2016-02-05 | QQQ | Sell | $98.29 | stop |
| 2016-03-01 | 2016-03-02 | QQQ | Buy | $105.63 | entry |
| 2016-07-15 | 2016-07-15 | QQQ | Sell | $112.26 | target |
| 2016-07-20 | 2016-07-21 | QQQ | Buy | $113.52 | entry |
| 2016-08-01 | 2016-08-01 | QQQ | Sell | $117.27 | target |
| 2016-09-12 | 2016-09-13 | QQQ | Buy | $115.73 | entry |
| 2016-09-22 | 2016-09-22 | QQQ | Sell | $119.19 | target |
| 2016-10-24 | 2016-10-25 | QQQ | Buy | $119.62 | entry |
| 2016-10-28 | 2016-10-28 | QQQ | Sell | $117.42 | stop |
| 2016-11-07 | 2016-11-08 | QQQ | Buy | $116.21 | entry |
| 2016-12-13 | 2016-12-13 | QQQ | Sell | $120.11 | target |
| 2016-12-13 | 2016-12-14 | QQQ | Buy | $120.56 | entry |
| 2017-01-25 | 2017-01-25 | QQQ | Sell | $124.94 | target |
| 2017-01-25 | 2017-01-26 | QQQ | Buy | $125.59 | entry |
| 2017-02-15 | 2017-02-15 | QQQ | Sell | $128.67 | target |
| 2017-03-01 | 2017-03-02 | QQQ | Buy | $131.43 | entry |
| 2017-03-27 | 2017-03-27 | QQQ | Sell | $129.65 | stop |
| 2017-04-17 | 2017-04-18 | QQQ | Buy | $131.01 | entry |
| 2017-04-24 | 2017-04-24 | QQQ | Sell | $134.05 | target |
| 2017-04-24 | 2017-04-25 | QQQ | Buy | $134.58 | entry |
| 2017-05-08 | 2017-05-08 | QQQ | Sell | $137.70 | target |
| 2017-05-18 | 2017-05-19 | QQQ | Buy | $137.71 | entry |
| 2017-05-25 | 2017-05-25 | QQQ | Sell | $140.92 | target |
| 2017-05-25 | 2017-05-26 | QQQ | Buy | $141.00 | entry |
| 2017-06-09 | 2017-06-09 | QQQ | Sell | $138.86 | stop |
Show all 218 fills
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2017-06-19 | 2017-06-20 | QQQ | Buy | $140.31 | entry |
| 2017-06-29 | 2017-06-29 | QQQ | Sell | $137.11 | stop |
| 2017-08-14 | 2017-08-15 | QQQ | Buy | $144.22 | entry |
| 2017-08-18 | 2017-08-18 | QQQ | Sell | $141.13 | stop |
| 2017-08-22 | 2017-08-23 | QQQ | Buy | $142.50 | entry |
| 2017-10-05 | 2017-10-05 | QQQ | Sell | $147.31 | target |
| 2017-10-05 | 2017-10-06 | QQQ | Buy | $146.97 | entry |
| 2017-10-27 | 2017-10-27 | QQQ | Sell | $150.79 | target |
| 2017-10-27 | 2017-10-30 | QQQ | Buy | $151.08 | entry |
| 2017-11-21 | 2017-11-21 | QQQ | Sell | $155.04 | target |
| 2017-11-21 | 2017-11-22 | QQQ | Buy | $155.63 | entry |
| 2017-12-01 | 2017-12-01 | QQQ | Sell | $153.07 | stop |
| 2017-12-15 | 2017-12-18 | QQQ | Buy | $158.36 | entry |
| 2018-01-09 | 2018-01-09 | QQQ | Sell | $162.87 | target |
| 2018-01-17 | 2018-01-18 | QQQ | Buy | $165.53 | entry |
| 2018-01-24 | 2018-01-24 | QQQ | Sell | $169.94 | target |
| 2018-01-26 | 2018-01-29 | QQQ | Buy | $170.57 | entry |
| 2018-02-02 | 2018-02-02 | QQQ | Sell | $167.27 | stop |
| 2018-02-06 | 2018-02-07 | QQQ | Buy | $161.79 | entry |
| 2018-02-08 | 2018-02-08 | QQQ | Sell | $156.54 | stop |
| 2018-02-23 | 2018-02-26 | QQQ | Buy | $168.96 | entry |
| 2018-03-02 | 2018-03-02 | QQQ | Sell | $162.50 | stop |
| 2018-03-09 | 2018-03-12 | QQQ | Buy | $173.67 | entry |
| 2018-03-19 | 2018-03-19 | QQQ | Sell | $167.75 | stop |
| 2018-03-26 | 2018-03-27 | QQQ | Buy | $165.62 | entry |
| 2018-03-27 | 2018-03-27 | QQQ | Sell | $159.23 | stop |
| 2018-06-01 | 2018-06-04 | QQQ | Buy | $173.18 | entry |
| 2018-07-13 | 2018-07-13 | QQQ | Sell | $179.81 | target |
| 2018-07-25 | 2018-07-26 | QQQ | Buy | $180.35 | entry |
| 2018-07-30 | 2018-07-30 | QQQ | Sell | $176.23 | stop |
| 2018-08-29 | 2018-08-30 | QQQ | Buy | $186.38 | entry |
| 2018-09-06 | 2018-09-06 | QQQ | Sell | $182.65 | stop |
| 2018-10-12 | 2018-10-15 | QQQ | Buy | $173.71 | entry |
| 2018-10-24 | 2018-10-24 | QQQ | Sell | $167.35 | stop |
| 2018-10-25 | 2018-10-26 | QQQ | Buy | $165.20 | entry |
| 2018-12-17 | 2018-12-17 | QQQ | Sell | $157.11 | stop |
| 2018-12-26 | 2018-12-27 | QQQ | Buy | $150.37 | entry |
| 2019-01-18 | 2019-01-18 | QQQ | Sell | $165.20 | target |
| 2019-01-30 | 2019-01-31 | QQQ | Buy | $166.70 | entry |
| 2019-03-13 | 2019-03-13 | QQQ | Sell | $176.98 | target |
| 2019-03-21 | 2019-03-22 | QQQ | Buy | $181.78 | entry |
| 2019-03-25 | 2019-03-25 | QQQ | Sell | $177.45 | stop |
| 2019-04-01 | 2019-04-02 | QQQ | Buy | $182.24 | entry |
| 2019-04-23 | 2019-04-23 | QQQ | Sell | $189.09 | target |
| 2019-04-23 | 2019-04-24 | QQQ | Buy | $190.47 | entry |
| 2019-05-06 | 2019-05-06 | QQQ | Sell | $186.87 | stop |
| 2019-06-04 | 2019-06-05 | QQQ | Buy | $176.58 | entry |
| 2019-06-18 | 2019-06-18 | QQQ | Sell | $185.91 | target |
| 2019-07-01 | 2019-07-02 | QQQ | Buy | $189.20 | entry |
| 2019-08-05 | 2019-08-05 | QQQ | Sell | $183.43 | stop |
| 2019-08-08 | 2019-08-09 | QQQ | Buy | $187.36 | entry |
| 2019-10-28 | 2019-10-28 | QQQ | Sell | $196.88 | target |
| 2019-11-25 | 2019-11-26 | QQQ | Buy | $204.35 | entry |
| 2019-12-03 | 2019-12-03 | QQQ | Sell | $200.21 | stop |
| 2019-12-06 | 2019-12-09 | QQQ | Buy | $204.63 | entry |
| 2019-12-19 | 2019-12-19 | QQQ | Sell | $210.34 | target |
| 2019-12-26 | 2019-12-27 | QQQ | Buy | $214.54 | entry |
| 2019-12-30 | 2019-12-30 | QQQ | Sell | $211.36 | stop |
| 2020-01-02 | 2020-01-03 | QQQ | Buy | $213.30 | entry |
| 2020-01-09 | 2020-01-09 | QQQ | Sell | $218.94 | target |
| 2020-01-13 | 2020-01-14 | QQQ | Buy | $220.84 | entry |
| 2020-02-04 | 2020-02-04 | QQQ | Sell | $226.95 | target |
| 2020-03-02 | 2020-03-03 | QQQ | Buy | $217.11 | entry |
| 2020-03-06 | 2020-03-06 | QQQ | Sell | $204.67 | stop |
| 2020-03-10 | 2020-03-11 | QQQ | Buy | $199.35 | entry |
| 2020-03-12 | 2020-03-12 | QQQ | Sell | $182.09 | stop |
| 2020-03-13 | 2020-03-16 | QQQ | Buy | $174.15 | entry |
| 2020-04-07 | 2020-04-07 | QQQ | Sell | $202.37 | target |
| 2020-04-14 | 2020-04-15 | QQQ | Buy | $208.48 | entry |
| 2020-06-02 | 2020-06-02 | QQQ | Sell | $234.79 | target |
| 2020-07-06 | 2020-07-07 | QQQ | Buy | $258.13 | entry |
| 2020-08-06 | 2020-08-06 | QQQ | Sell | $273.73 | target |
| 2020-08-12 | 2020-08-13 | QQQ | Buy | $272.64 | entry |
| 2020-08-26 | 2020-08-26 | QQQ | Sell | $288.25 | target |
| 2020-08-26 | 2020-08-27 | QQQ | Buy | $293.08 | entry |
| 2020-09-04 | 2020-09-04 | QQQ | Sell | $283.78 | stop |
| 2020-09-09 | 2020-09-10 | QQQ | Buy | $280.97 | entry |
| 2020-09-18 | 2020-09-18 | QQQ | Sell | $266.50 | stop |
| 2020-10-12 | 2020-10-13 | QQQ | Buy | $296.34 | entry |
| 2020-10-19 | 2020-10-19 | QQQ | Sell | $282.86 | stop |
| 2020-11-04 | 2020-11-05 | QQQ | Buy | $293.41 | entry |
| 2021-01-04 | 2021-01-04 | QQQ | Sell | $315.11 | target |
| 2021-01-07 | 2021-01-08 | QQQ | Buy | $317.34 | entry |
| 2021-02-05 | 2021-02-05 | QQQ | Sell | $331.22 | target |
| 2021-03-01 | 2021-03-02 | QQQ | Buy | $324.25 | entry |
| 2021-03-03 | 2021-03-03 | QQQ | Sell | $310.93 | stop |
| 2021-03-09 | 2021-03-10 | QQQ | Buy | $316.16 | entry |
| 2021-04-13 | 2021-04-13 | QQQ | Sell | $340.72 | target |
| 2021-05-14 | 2021-05-17 | QQQ | Buy | $324.63 | entry |
| 2021-06-14 | 2021-06-14 | QQQ | Sell | $342.41 | target |
| 2021-06-28 | 2021-06-29 | QQQ | Buy | $353.53 | entry |
| 2021-07-23 | 2021-07-23 | QQQ | Sell | $365.65 | target |
| 2021-07-23 | 2021-07-26 | QQQ | Buy | $367.49 | entry |
| 2021-08-30 | 2021-08-30 | QQQ | Sell | $379.72 | target |
| 2021-08-30 | 2021-08-31 | QQQ | Buy | $380.51 | entry |
| 2021-09-17 | 2021-09-17 | QQQ | Sell | $372.78 | stop |
| 2021-10-14 | 2021-10-15 | QQQ | Buy | $367.88 | entry |
| 2021-10-28 | 2021-10-28 | QQQ | Sell | $384.11 | target |
| 2021-11-04 | 2021-11-05 | QQQ | Buy | $400.04 | entry |
| 2021-11-10 | 2021-11-10 | QQQ | Sell | $390.59 | stop |
| 2021-11-29 | 2021-11-30 | QQQ | Buy | $398.78 | entry |
| 2021-12-01 | 2021-12-01 | QQQ | Sell | $387.38 | stop |
| 2021-12-07 | 2021-12-08 | QQQ | Buy | $398.17 | entry |
| 2021-12-17 | 2021-12-17 | QQQ | Sell | $383.11 | stop |
| 2021-12-21 | 2021-12-22 | QQQ | Buy | $388.91 | entry |
| 2022-01-10 | 2022-01-10 | QQQ | Sell | $372.89 | stop |
| 2022-01-28 | 2022-01-31 | QQQ | Buy | $353.20 | entry |
| 2022-02-23 | 2022-02-23 | QQQ | Sell | $332.74 | stop |
| 2022-02-24 | 2022-02-25 | QQQ | Buy | $341.31 | entry |
| 2022-03-08 | 2022-03-08 | QQQ | Sell | $319.95 | stop |
| 2022-03-09 | 2022-03-10 | QQQ | Buy | $330.82 | entry |
| 2022-03-28 | 2022-03-28 | QQQ | Sell | $362.49 | target |
| 2022-04-28 | 2022-04-29 | QQQ | Buy | $323.70 | entry |
| 2022-05-06 | 2022-05-06 | QQQ | Sell | $305.27 | stop |
| 2022-06-24 | 2022-06-27 | QQQ | Buy | $296.00 | entry |
| 2022-06-30 | 2022-06-30 | QQQ | Sell | $277.60 | stop |
| 2022-07-19 | 2022-07-20 | QQQ | Buy | $298.73 | entry |
| 2022-08-03 | 2022-08-03 | QQQ | Sell | $322.53 | target |
| 2022-08-03 | 2022-08-04 | QQQ | Buy | $322.97 | entry |
| 2022-08-26 | 2022-08-26 | QQQ | Sell | $307.42 | stop |
| 2022-10-04 | 2022-10-05 | QQQ | Buy | $278.28 | entry |
| 2022-10-11 | 2022-10-11 | QQQ | Sell | $263.09 | stop |
| 2022-10-17 | 2022-10-18 | QQQ | Buy | $276.53 | entry |
| 2022-11-04 | 2022-11-04 | QQQ | Sell | $260.01 | stop |
| 2022-11-10 | 2022-11-11 | QQQ | Buy | $282.56 | entry |
| 2022-12-22 | 2022-12-22 | QQQ | Sell | $265.85 | stop |
| 2023-01-06 | 2023-01-09 | QQQ | Buy | $270.83 | entry |
| 2023-01-23 | 2023-01-23 | QQQ | Sell | $290.05 | target |
| 2023-02-01 | 2023-02-02 | QQQ | Buy | $307.57 | entry |
| 2023-02-21 | 2023-02-21 | QQQ | Sell | $295.06 | stop |
| 2023-03-03 | 2023-03-06 | QQQ | Buy | $300.94 | entry |
| 2023-03-10 | 2023-03-10 | QQQ | Sell | $289.31 | stop |
| 2023-03-14 | 2023-03-15 | QQQ | Buy | $294.71 | entry |
| 2023-03-22 | 2023-03-22 | QQQ | Sell | $313.30 | target |
| 2023-04-13 | 2023-04-14 | QQQ | Buy | $317.59 | entry |
| 2023-05-18 | 2023-05-18 | QQQ | Sell | $333.82 | target |
| 2023-05-18 | 2023-05-19 | QQQ | Buy | $337.49 | entry |
| 2023-05-30 | 2023-05-30 | QQQ | Sell | $352.71 | target |
| 2023-06-12 | 2023-06-13 | QQQ | Buy | $363.29 | entry |
| 2023-07-13 | 2023-07-13 | QQQ | Sell | $378.43 | target |
| 2023-07-13 | 2023-07-14 | QQQ | Buy | $379.58 | entry |
| 2023-08-08 | 2023-08-08 | QQQ | Sell | $369.38 | stop |
| 2023-08-21 | 2023-08-22 | QQQ | Buy | $366.55 | entry |
| 2023-09-26 | 2023-09-26 | QQQ | Sell | $355.64 | stop |
| 2023-10-06 | 2023-10-09 | QQQ | Buy | $362.30 | entry |
| 2023-10-25 | 2023-10-25 | QQQ | Sell | $350.54 | stop |
| 2023-11-01 | 2023-11-02 | QQQ | Buy | $361.54 | entry |
| 2023-11-14 | 2023-11-14 | QQQ | Sell | $383.71 | target |
| 2023-11-14 | 2023-11-15 | QQQ | Buy | $387.25 | entry |
| 2023-12-14 | 2023-12-14 | QQQ | Sell | $404.98 | target |
| 2024-01-08 | 2024-01-09 | QQQ | Buy | $401.91 | entry |
| 2024-01-19 | 2024-01-19 | QQQ | Sell | $416.17 | target |
| 2024-02-02 | 2024-02-05 | QQQ | Buy | $429.07 | entry |
| 2024-03-01 | 2024-03-01 | QQQ | Sell | $445.12 | target |
| 2024-03-01 | 2024-03-04 | QQQ | Buy | $445.61 | entry |
| 2024-03-05 | 2024-03-05 | QQQ | Sell | $434.76 | stop |
| 2024-03-07 | 2024-03-08 | QQQ | Buy | $445.81 | entry |
| 2024-03-15 | 2024-03-15 | QQQ | Sell | $434.28 | stop |
| 2024-04-11 | 2024-04-12 | QQQ | Buy | $441.10 | entry |
| 2024-04-17 | 2024-04-17 | QQQ | Sell | $429.28 | stop |
| 2024-05-03 | 2024-05-06 | QQQ | Buy | $437.30 | entry |
| 2024-05-23 | 2024-05-23 | QQQ | Sell | $460.55 | target |
| 2024-06-05 | 2024-06-06 | QQQ | Buy | $464.22 | entry |
| 2024-06-17 | 2024-06-17 | QQQ | Sell | $481.70 | target |
| 2024-06-17 | 2024-06-18 | QQQ | Buy | $485.01 | entry |
| 2024-06-24 | 2024-06-24 | QQQ | Sell | $473.84 | stop |
| 2024-07-22 | 2024-07-23 | QQQ | Buy | $481.41 | entry |
| 2024-07-24 | 2024-07-24 | QQQ | Sell | $467.58 | stop |
| 2024-07-31 | 2024-08-01 | QQQ | Buy | $471.76 | entry |
| 2024-08-02 | 2024-08-02 | QQQ | Sell | $450.89 | stop |
| 2024-08-08 | 2024-08-09 | QQQ | Buy | $446.74 | entry |
| 2024-08-19 | 2024-08-19 | QQQ | Sell | $481.20 | target |
| 2024-09-11 | 2024-09-12 | QQQ | Buy | $468.65 | entry |
| 2024-10-14 | 2024-10-14 | QQQ | Sell | $497.57 | target |
| 2024-11-06 | 2024-11-07 | QQQ | Buy | $508.40 | entry |
| 2024-12-11 | 2024-12-11 | QQQ | Sell | $530.08 | target |
| 2024-12-11 | 2024-12-12 | QQQ | Buy | $527.68 | entry |
| 2024-12-18 | 2024-12-18 | QQQ | Sell | $515.12 | stop |
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Risk warning
Past results do not predict future returns. Not investment advice.