TQQQ VWAP System

A one-minute intraday system on the leveraged Nasdaq ETF. The core trade is a VWAP-anchored band breakout with a tight trailing stop. Layered on top of the core, a small set of deterministic event-day rules controls when the strategy is allowed to take new positions and at what size.

Entry: a 1-minute close that pushes outside a VWAP-anchored band, in the direction of the breakout. Exit: a tight trailing stop that returns price back toward the band, with hard liquidation at session close.

The two event-day rules that matter most reduce or zero allocation on scheduled high-impact event days: FOMC announcements and CPI releases. Those dates are taken from the published Federal Reserve and Bureau of Labor Statistics schedules, not from in-sample fitting, and they target the specific sessions on which the breakout trade has historically been most punished.

The backtest starts in 2015 because TQQQ trading volume only reached the level at which one-minute intraday execution can be modeled with confidence around that time. Earlier fills on the ETF would not be representative of the spread and liquidity behavior the strategy depends on today.

The shipped configuration is the product of a multi-phase refinement: each candidate rule was tested independently, the best were stacked, and the combined version was re-validated on a full-period holdout.