Strategy QP1
June 2026 holdings:
COM DBC DIG KGLD PDBC
QLD SGOL TBF TECL VDE
The ETFs presented here are those held in my own portfolio for informational purposes only. They do not constitute a recommendation to buy or sell. I am not a financial advisor.
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Structure and operation
The QP1 strategy holds 10 ETFs. It results from the merger of three trend following strategies that use distinct momentum calculation horizons, ranging from very short to medium term, following the classical definitions of reference models.
For the first quarter of 2026, QP1's return curve diverges markedly from that of the S&P 500. This is explained by a gradual rotation, initiated at the end of 2025, from American equity ETFs toward commodities.
| Performance (2018-2025) | QP1 | S&P 500 |
|---|---|---|
| CAGR | 28.01% | 14.18% |
| Standard Deviation | 22.09% | 16.49% |
| Best Year | 71.89% | 31.33% |
| Worst Year | -2.94% | -18.23% |
| Maximum Drawdown | -17.35% | -23.95% |
| Sharpe Ratio | 1.09 | 0.74 |
| Sortino Ratio | 2.30 | 1.13 |
| Annual Returns | QP1 | S&P 500 |
|---|---|---|
| 2026-03-31 | 10.29% | -4.63% |
| 2025 | 25.43% | 17.71% |
| 2024 | 25.83% | 24.84% |
| 2023 | 29.28% | 26.11% |
| 2022 | 11.43% | -18.23% |
| 2021 | 44.58% | 28.53% |
| 2020 | 66.08% | 18.25% |
| 2019 | 44.29% | 33.31% |
| 2018 | -2.94% | -4.52% |
For now, my intention is to publish at the beginning of each month the list of ETFs held by the strategy during the current month. The list will indicate those showing the highest momentum.
On the technical side, signals from the backtest platforms are generated overnight between the last day of the month and the first day of the following month, for theoretical purchases made at month-end closing prices. In practice, ETFs are sold and repurchased at the market open the following day, at prices that differ from the closing prices. This gap creates a slight divergence between backtest results and actual results. Upon observation, the impact on performance is limited: sometimes slightly above, sometimes slightly below the theoretical returns, but without any major effect on overall performance. This is an additional indication that the strategy is resilient to variations.
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Behaviour during periods of crisis
In the first quarter of 2026, in the context of the war in Iran, the S&P 500 posted a return of −4%, while QP1 gained 10%, a gap of 14% in three months.
In 2025, following the announcement of Trump's tariffs in the United States, the S&P 500 had declined −15% by April 8, while QP1 showed a return of −2%.
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For the year 2022, the S&P 500 finished with a loss of −18%, while QP1 generated a positive return of 11%, a gap of 29%. The return curve remained in mostly positive territory, with a largely sideways trajectory, throughout the entire year.
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Origin of the strategy
I created QP1 in 2024 to consolidate my three best trend following strategies into a single one. The multiplicity of rules that determine the signals makes it less susceptible to reverse engineering, which makes me more willing to publish the monthly signals.
This consolidation of three strategies reflects my approach to risk management. In my portfolio, I maintain 14 trend following strategies to diversify. This is my risk management method with models that I consider experimental but functional and profitable. Observing their behaviour as markets evolve helps me better understand their resilience and verify whether certain conceptual premises have had the intended effect. The beginning of 2026 put to the test some of the weaknesses that my models had revealed in 2022 and that now reacted successfully.