Systematic • Quantitative • Rules-Based
A diversified, momentum-driven allocation strategy combining multiple quantitative signals across global ETFs and stocks. Backtested over 21 years with realistic transaction costs and slippage.
Hypothetical Backtest Results (Jan 2005 – Mar 2026) — Not a live track record. Past performance does not guarantee future results.
CAGR
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2005 – 2026
Sharpe Ratio
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Risk-adjusted return
Max Drawdown
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Worst peak-to-trough
Win Rate
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Monthly
Sortino
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Annual Vol
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Total Return
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Best Month
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Worst Month
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These results are not just a curve-fitted equity line. The backtest was designed to reflect real-world conditions as closely as possible.
Uses point-in-time universe data. Delisted and failed companies are included — no hindsight selection of "winners only."
Interactive Brokers tiered fee schedule applied to every trade. Additional slippage model accounts for market impact.
A PSR of 99.9% means the observed Sharpe ratio is statistically significant — not a product of randomness or a short sample period.
Rules-based signals with minimal parameters. Strategy logic validated out-of-sample across multiple market regimes.
Covers the 2008 financial crisis, COVID crash, rising rates — not just a cherry-picked bull market window.
The backtest runs the exact same codebase deployed for live trading — no separate "research version."
Combines momentum-based stock selection, trend-following across multiple asset classes (equities, bonds, commodities, gold), and minimum-variance optimization for risk reduction.
Instruments are selected based on price momentum across multiple timeframes, volatility metrics, and trend-strength indicators. The universe includes global index ETFs and selected large-cap stocks.
Rebalancing is rules-based, triggered by signal changes across the individual strategies. Trading frequency adapts to market conditions — from multiple adjustments per week to extended holding periods when signals are stable. The goal is an attractive risk-return profile with controlled drawdowns.
All decisions are based on quantitative analysis of historical market data. The underlying strategies have been tested for robustness and consistency over a period of more than 20 years.
Choose your preferred platform. Both track the same underlying signals with region-appropriate instruments.