QQQ trend held in QQQ (no TQQQ), with Reg T margin above 1x, and its blends
with the momentum sleeve, at $1 an order on $10k, compared with QQQ raw and
at QQQ's design-period volatility. No construction raises Sharpe by 0.10 in
both periods. The trend's gain is crash avoidance (MaxDD -28% vs -83% since
1990); exploratory: at 2x margin it earns 17.0% vs 14.9% with MaxDD -50%.
The single-phase momentum series behind us_momentum_qqq_trend's 27.9% was 6pp
a year above the phase-averaged, delisting-aware stream.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
