How to build a trading strategy with technical indicators

QQQ above its 200-day average, otherwise short-term Treasuries

Test window

Oct 2021 – Sep 2026

Starting balance

$100,000

Fee per trade

0.1%

Benchmark

SPY

This is the result. The four steps below show how the strategy was built and tested.

1. Describe the idea to Aurora

A prompt like this one describes the strategy in plain English.

“Build a portfolio that follows these rules. Hold QQQ while QQQ's price is above its 200-day simple moving average. Hold SHY (1-3 year Treasuries) while QQQ's price is at or below its 200-day simple moving average. Trade only when the signal flips: buy QQQ only when no QQQ is held, buy SHY only when no SHY is held. Each side is 100% of the portfolio. Backtest it between Oct 1, 2021 and Sep 30, 2026 with $100,000 to start, a 0.1% fee on each trade, SPY as the benchmark.”

2. Check the rules Aurora writes

These are the exact rules the backtest ran.

1. Rule 1

   Hold QQQ while QQQ's price is above its 200-day simple moving average.

2. Rule 2

   Hold SHY (1-3 year Treasuries) while QQQ's price is at or below its 200-day simple moving average.

3. Rule 3

   Trade only when the signal flips: buy QQQ only when no QQQ is held, buy SHY only when no SHY is held.

4. Rule 4

   Each side is 100% of the portfolio.

3. Backtest it against SPY after fees

It switched 61 times around the 200-day average, and fees of $13,695 at 0.1% per trade added up.

Strategy return

+59.5%

SPY return

+88.5%

Largest fall

−29.2%

Sharpe ratio

0.68

Closed trades

60

Fees paid

$13,695

4. Test it on dates it never saw

Next, run a walk-forward test, which freezes the rules and checks them on later dates they never saw. See a walk-forward test on unseen dates

The results describe historical observations. They do not establish live trading performance.

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