Backtest Results

Historical performance analysis of our trading strategies. All results are based on out-of-sample backtesting with no lookahead bias.

Disclaimer: Not financial advice. For informational purposes only. Past performance does not guarantee future results. Consult a financial advisor before investing. No liability assumed for investment decisions.

Performance Metrics Overview

Model Performance

Comprehensive performance comparison across all strategies

Metric	Position-Sized	Consensus	Buy & Hold
Annual Return	8.69%	9.46%	8.56%
Sharpe Ratio	0.64	0.66	0.45
Sortino Ratio	0.73	0.70	0.59
Calmar Ratio	0.21	0.28	0.15
Max Drawdown	-42.05%	-33.92%	-56.78%
Annual Volatility	12.97%	13.77%	18.09%
Win Rate	74.19%	91.67%	0.00%
Total Trades	31	24	N/A
Backtest Period	35.9 years	35.9 years	35.9 years

Cumulative Returns

Consensus, Position-Sized, and Buy & Hold strategies

Consensus:2465.78%

Position-Sized:1891.78%

Buy & Hold:1804.16%

Consensus vs B&H:+661.62%

Position-Sized vs B&H:+87.62%

Consensus Strategy

Position-Sized Strategy

Buy & Hold

Drawdown Comparison

Peak-to-trough declines (lower is worse)

Consensus Max DD:-27.73%

Position-Sized Max DD:-42.05%

Buy & Hold Max DD:-56.78%

Consensus Strategy

Position-Sized Strategy

Buy & Hold

Rolling Returns

252-day rolling annualized returns

Consensus Avg:10.44%

Position-Sized Avg:9.69%

Buy & Hold Avg:9.97%

Consensus Strategy

Position-Sized Strategy

Buy & Hold

Signal Distribution

Distribution of consensus signals across all time periods

Model Analysis

Model Prediction Probabilities

Confidence levels for each time horizon (50% threshold for LONG signal)

When probability > 50%, model signals LONG. When < 50%, model signals CASH.

Consensus Strategy

Historical backtest performance vs Buy & Hold

Annual Return

9.46%

vs 8.56% B&H

Sharpe Ratio

0.66

vs 0.45 B&H

Max Drawdown

-33.92%

vs -56.78% B&H

Outperformance:+0.91%/year

Win Rate

91.67%

Total Trades

Time in Market

0.00%

Position-Sized Strategy

Historical backtest performance vs Buy & Hold

Annual Return

8.69%

vs 8.56% B&H

Sharpe Ratio

0.64

vs 0.45 B&H

Max Drawdown

-42.05%

vs -56.78% B&H

Outperformance:+0.14%/year

Win Rate

74.19%

Total Trades

Time in Market

0.00%

Position Size History (Position-Sized Strategy)

Strategy allocation over time (0-100%)

Average Position: 66.7%

Position Size History (Consensus Strategy)

Strategy allocation over time (0-100%)

Average Position: 65.2%

Model Voting Pattern & Consensus Strength

Dot color reflects number of models LONG

0/3 LONG (0%)

1/3 LONG (30%)

2/3 LONG (90%)

3/3 LONG (100%)

Strategy Descriptions

Consensus Strategy

Binary approach that invests 100% when the consensus threshold is met.

Rules:

• ≥2 models signal LONG → 100% invested
• <2 models signal LONG → 100% cash
• Simple, easy to implement

Best for: Traders who prefer binary decisions and can tolerate higher volatility.

Position-Sized Strategy

Gradual approach that varies position size based on model agreement.

Rules:

• 3 models LONG → 100% position
• 2 models LONG → 90% position
• 1 model LONG → 30% position
• 0 models LONG → 0% (cash)

Best for: Traders who prefer gradual adjustments and smoother equity curves.

Model Training Insights

Model Training Metrics

Classification performance on test set and cross-validation results

Horizon	AUC	Accuracy	Precision	Recall	F1 Score	CV AUC	Features
3M	0.701	0.614	0.854	0.535	0.658	0.719 ± 0.231	10
6M	0.786	0.721	0.862	0.735	0.793	0.834 ± 0.139	5
12M	0.930	0.887	0.944	0.910	0.927	0.847 ± 0.085	10

Good

Score ≥ target threshold

Fair

Score slightly below threshold

Needs improvement

Score significantly below threshold

AUC: Target ≥ 0.60 (higher = better predictive power)

Precision: Accuracy of LONG predictions (higher = fewer false signals)

Recall: Ability to identify opportunities (higher = catches more good periods)

CV AUC: Cross-validation performance (lower std = more stable)

Confusion Matrices

How well each model classifies LONG vs CASH signals

3M Horizon

Accuracy: 61.4%

True Negative

2186

24.3%

Predicted: CASH
Actual: CASH ✓

False Positive

571

6.3%

Predicted: LONG
Actual: CASH ✗

False Negative

2900

32.2%

Predicted: CASH
Actual: LONG ✗

True Positive

3340

37.1%

Predicted: LONG
Actual: LONG ✓

Total predictions: 8,997

6M Horizon

Accuracy: 72.1%

True Negative

1670

18.6%

Predicted: CASH
Actual: CASH ✓

False Positive

770

8.6%

Predicted: LONG
Actual: CASH ✗

False Negative

1740

19.3%

Predicted: CASH
Actual: LONG ✗

True Positive

4817

53.5%

Predicted: LONG
Actual: LONG ✓

Total predictions: 8,997

12M Horizon

Accuracy: 88.8%

True Negative

1587

17.6%

Predicted: CASH
Actual: CASH ✓

False Positive

382

4.2%

Predicted: LONG
Actual: CASH ✗

False Negative

630

7.0%

Predicted: CASH
Actual: LONG ✗

True Positive

6398

71.1%

Predicted: LONG
Actual: LONG ✓

Total predictions: 8,997

Cross-Validation Results

Train vs Validation AUC per fold - detecting overfitting

3M Horizon CV Results

5 folds completed

Mean Val AUC: 0.719

Gap: 0.0551 (Moderate)

6M Horizon CV Results

5 folds completed

Mean Val AUC: 0.834

Gap: 0.0331 (Good)

12M Horizon CV Results

5 folds completed

Mean Val AUC: 0.846

Gap: 0.1117 (High Overfitting)

Feature Importance

Top 10 most important features for each prediction horizon

Top 10 Features - 3M Horizon

Most important features for prediction

Top 10 Features - 6M Horizon

Most important features for prediction

Top 10 Features - 12M Horizon

Most important features for prediction

Backtest Methodology

Data & Approach

✓Out-of-sample testing (no lookahead bias)
✓Walk-forward validation
✓Models trained on historical data only
✓Signals lagged by 1 day (realistic execution)

Key Metrics

Annual Return: Annualized total return
Sharpe Ratio: Risk-adjusted returns (higher is better)
Max Drawdown: Largest peak-to-trough decline
Win Rate: Percentage of profitable trades

Want to learn more about our models and methodology? View detailed methodology →