A faster exit helped, with a cost in rebounds
The QQQ version returned 97.96% from January 3, 2022 to October 5, 2026, after modeled trading fees. Holding QQQ returned 94.97%. Its worst observed decline fell to 16.31%, compared with 34.92% for QQQ. That broad comparison is encouraging, but the fresh January 2025 start returned 34.47% against QQQ's 48.27%.
We began with Cesar Alvarez's published research on waiting for several consecutive closes across a 200-session moving average. The first SPY implementation lagged badly. Reviewing its exits suggested testing a faster sale while leaving the three-close entry intact. This report covers both the unsuccessful SPY book and the more promising QQQ book. The one-close exit is our adaptation; Alvarez did not participate in this study or endorse it.
What stayed fixed and what changed
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| Source control | Buy after three completed closes above the 200-session close average; sell after three below it. |
| Independent change | Keep the three-close entry; sell after the first completed close below the same average. |
| Execution | The following regular opening, using completed exchange sessions and actual opening prices. |
| Sizing and costs | $10,000 fresh start; fractional shares; 0.1% per stock fill; dividends retained as cash; no cash interest, additional slippage or taxes. |
| Benchmark | Native continuous SPY or QQQ total-return path with immediate dividend reinvestment and no trading fees. |
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SPY and QQQ are separate asset tests. Moving from SPY to QQQ cannot be attributed to the exit change alone.
Broad and recent QQQ comparisons
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| Jan 3, 2022 to Oct 5, 2026 | 92.38% / 19.12% decline | 97.96% / 16.31% decline | 94.97% / 34.92% decline |
| Jan 2, 2025 to Oct 5, 2026 | 30.08% / 14.41% decline | 34.47% / 11.72% decline | 48.27% / 24.17% decline |
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Each cell shows cumulative return / maximum observed drawdown. Recent tests restart with $10,000; they are not slices of the continuous broad book.
QQQ: the broad historical test
QQQ: the recent return lag
The exits that led to the change
In the SPY run, a December 2022 entry at $403.95 exited after three below-average closes at $395.14. An October 2023 exit at $413.56 was followed by reentry at $435.69. Those actual events gave us a reason to inspect exit delay rather than add unrelated filters. Cash also avoided a 7.78% price loss during an earlier 2022 interval, so staying invested was not always preferable.
The matched SPY one-close test improved return from 38.85% to 45.94% and drawdown from 22.78% to 19.15%. Holding SPY still returned 72.83%. Seven exit prices improved, but the January 2022 exit worsened from $440.72 to $432.03. The change did not reduce the number of closed trades.
The QQQ adaptation introduced a March 2023 whipsaw: a sale near $286.73 followed by reentry near $298. Its separate 2023 fresh-start test returned 29.56%, below the three-close version's 34.92%. Faster exits can protect a decline and sell just before a recovery. Both effects remain in the evidence.
SPY was not rescued
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| Jan 3, 2022 to Oct 5, 2026 | 38.85% / 22.78% decline | 45.94% / 19.15% decline | 72.83% / 24.74% decline |
| Jan 2, 2025 to Oct 5, 2026 | 21.20% / 10.55% decline | 22.36% / 10.41% decline | 33.65% / 19.95% decline |
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The rejected SPY experiment remains part of the study. Better than its own control did not mean market-comparable return.
SPY: improvement below the market baseline
What the record supports
The broad QQQ one-close book paid $104.36 in modeled fees and received $249.18 in cash dividends across nine fills. Completed-close signals and next-opening fills were inspected. The public downloads preserve all archived NAV and benchmark observations; they do not include a complete independently reproducible market-data tape.
These are retrospective research results from dates and variants already examined. The small broad return lead does not establish a future edge. The listed QQQ portfolio is an editable research implementation; historical charts and any later paper-trading record should be evaluated separately.
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