u/vaanam-dev

The author backtested an ICT fair value gap strategy on SPY from 2006-2025 and found a 6.52% CAGR, 39.67% max drawdown and Sharpe ratio of 0.28, calling the risk-adjusted returns mediocre. He concludes the pattern is not tradeable as a standalone strategy and that an investor would be better off simply holding SPY. The implied mechanism is that buy-and-hold SPY avoids the strategy's large drawdowns and poor risk-adjusted return profile. Horizon is the 2006-2025 backtest period, with no forward horizon specified.

The author includes QQQ in a multi-ETF mean-reversion basket, applying the same rule: buy when it closes below the lower Bollinger Band and above the 200-day SMA, then exit at the upper band. QQQ is second in priority and is bought only if SPY does not first meet the entry criteria. The combined backtest from Jan 2006 to Dec 2025 is claimed to produce 10.03% CAGR with 10.74% max drawdown and 5.50 profit factor. The main stated risk is drawdown and trade costs.