Gahow Wang
f2d8b53898
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>