A Systematic Framework for QQQ
What a rules-based framework for a single index looks like when you write down every stage in advance.
A framework is not a strategy. It is the set of decisions you make before you have an opinion, so that the opinion has somewhere to go.
The stages
Data. Price, breadth, volatility, rates. Nothing exotic; everything reproducible.
Signal. A small number of slow signals. Slow signals survive regime change; fast ones mostly survive backtests.
Regime. The same signal means different things in different weather. Classifying the regime first is what keeps a trend rule from being run into a chop market.
Position. Size is a function of signal strength and regime confidence — not of conviction.
Risk. Defined before entry. A limit discovered during a drawdown is not a limit.
Execution. Mechanical, scheduled, unglamorous.
What we do not publish
Positions, sizes and timing. The framework is useful to think with; the trades are ours. We would rather be read for the reasoning than the returns.