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Larry Williams volatility breakout on QQQ: did it beat simply holding?

The rule target = open + k × yesterday's range, applied to QQQ since 2000 with different k, a moving-average filter and trading costs.

Confluence Zone operator · Data as of September 30, 2026 · Calculated October 1, 2026 · Recomputed monthly

Summary

Applying a k 0.5 volatility breakout to QQQ from January 2000 turned $10,000 into $63, an annual return of −17.3%. Buy and hold ended at $91,226, or 8.6% a year.

The rule traded 2,800 times, and the 0.15% cost on every buy and sell changed the result a lot. With a 0.05% cost the same rule returned 2.0% a year, and with no cost 13.2%.

All four variants of k and filter lost money; k 0.7 lost the least at −11.4% a year.

QQQ volatility breakout by k and filter, $10,000 at the start, cost 0.15%

Case	End balance	Annual return	Max drawdown	Trades	Win rate
QQQ full period, k 0.3Jan 2000 to Sep 2026	$1	−28.6%	−100.0%	4,170	57%
QQQ full period, k 0.5Jan 2000 to Sep 2026	$63	−17.3%	−99.7%	2,800	57%
QQQ full period, k 0.7Jan 2000 to Sep 2026	$388	−11.4%	−97.3%	1,852	58%
QQQ full period, k 0.5 + 5-day MA filterJan 2000 to Sep 2026	$286	−12.5%	−98.2%	1,609	56%
QQQ full period, buy and holdJan 2000 to Sep 2026	$91,226	8.6%	−83.0%	0	—
QQQ 10 years, k 0.3Oct 2016 to Sep 2026	$631	−24.2%	−93.9%	1,558	60%
QQQ 10 years, k 0.5Oct 2016 to Sep 2026	$1,260	−18.7%	−87.9%	1,059	59%
QQQ 10 years, k 0.7Oct 2016 to Sep 2026	$3,192	−10.8%	−68.8%	694	62%
QQQ 10 years, k 0.5 + 5-day MA filterOct 2016 to Sep 2026	$2,366	−13.4%	−77.0%	643	59%
QQQ 10 years, buy and holdOct 2016 to Sep 2026	$66,661	20.9%	−35.1%	0	—

Win rate counts trades that sold at the next open above the buy price, before costs.

k 0.5, full period: annual return by cost per trade

	0.15%	0.05%	0%	Buy and hold
QQQJan 2000 to Sep 2026	−17.3%	2.0%	13.2%	8.6%
SPYJan 2000 to Sep 2026	−26.0%	−8.5%	1.7%	8.2%

How it was calculated

$10,000 went in once at the start, with nothing added later. Buy and hold bought with the same money on the same day and held to the end.
Volatility breakout: target = today's open + k × (yesterday's high − yesterday's low). When the high reaches the target, the whole account buys at the target and sells at the next trading day's open. No new buy on the last day. The 5-day MA filter buys only when yesterday's close was above its 5-day moving average.
Each buy or sell was charged 0.15% as a cost. Taxes, currency conversion costs and interest on cash are not included.
Dividends were reinvested at the price on each ex-dividend date. Taxes on dividends are not deducted.
Annual return is the compound annual growth rate (CAGR) of the end balance over the starting money. Average stock share is the daily share of the account held in stocks, averaged over the period.
The as-of date is the last trading day of last month (September 30, 2026). The numbers are recomputed at the start of each month.
Orders filled at the price line or target when the price reached it. Within a daily bar, the low was assumed to come before the high on up days and the high before the low on down days. If the open had already passed the line, the fill was at the open. See the backtest spec

Try it yourself

This rule is not in the backtest tool yet. The buy-and-hold comparison can be calculated there with the same settings.

Calculate with these settings

Common questions

Is the next-day sell at the open the original rule?

Larry Williams described exiting at the next open or on a stop. Versions that sell at the same day's close also circulate. This calculation uses the next open.

How often did a trade win?

Over the full period, 57% of trades sold at the next open above the buy price before costs.

How did it do on SPY?

Over the same full period, SPY returned −26.0% a year at a 0.15% cost and 1.7% at no cost, against 8.2% for buy and hold. At a 0.15% cost that was below QQQ (−17.3%).

Are dividends included?

Yes. This volatility breakout calculation reinvests each dividend at the price on its ex-dividend date. Taxes on dividends are not deducted.

Would the result be the same when investing in a currency other than dollars?

No. This volatility breakout calculation is in US dollars. Exchange rate changes and the fee and tax differences of locally listed ETFs are not included.