Historical performance analysis of our trading strategies. All results are based on out-of-sample backtesting with no lookahead bias.
The Position-Sized Model scales market exposure based on the degree of model agreement. Instead of binary all-in or all-out, it provides a gradual, risk-adjusted approach to positioning.
Compared to the Consensus Model: The Position-Sized Model allows partial exposure, reducing whipsaw risk during uncertain periods when only 2 models agree. The Consensus Model is binary — always fully invested or fully in cash. View Consensus Model
Position-Sized Strategy
Position-Sized Strategy
Position-Sized Strategy
Position-Sized Strategy
Position-Sized Strategy
Comprehensive performance comparison across all strategies
| Metric | Position-Sized | Consensus | Buy & Hold |
|---|---|---|---|
| Annual Return | 8.94% | 9.64% | 8.66% |
| Sharpe Ratio | 0.50 | 0.46 | 0.32 |
| Sortino Ratio | 0.54 | 0.50 | 0.40 |
| Calmar Ratio | 0.24 | 0.23 | 0.15 |
| Max Drawdown | -37.74% | -41.20% | -56.78% |
| Annual Volatility | 12.00% | 14.56% | 18.04% |
| Win Rate | 50.79% | 44.61% | 0.00% |
| Total Trades | 445 | 204 | N/A |
| Backtest Period | 36.3 years | 36.3 years | 36.3 years |
Consensus, Position-Sized, and Buy & Hold strategies
Cash positions earn the prevailing Fed Funds Rate (risk-free benchmark).
Peak-to-trough declines (lower is worse)
252-day rolling annualized returns
Annualized return vs. annualized volatility — higher and to the left is better
Annual performance comparison across all strategies
| Year | Position-Sized | Consensus | Buy & Hold | Excess Return |
|---|---|---|---|---|
| 1990 | -1.3% | -8.5% | -8.7% | +7.5% |
| 1991 | +20.7% | +29.9% | +29.9% | -9.2% |
| 1992 | +7.1% | +5.2% | +5.2% | +1.9% |
| 1993 | +8.1% | +8.1% | +8.1% | +0.0% |
| 1994 | -1.7% | -1.7% | -1.7% | +0.0% |
| 1995 | +33.8% | +33.8% | +33.8% | +0.0% |
| 1996 | +15.0% | +20.1% | +20.1% | -5.1% |
| 1997 | +31.6% | +31.6% | +25.1% | +6.5% |
| 1998 | +17.7% | +24.8% | +25.8% | -8.1% |
| 1999 | +2.2% | +3.3% | +14.8% | -12.6% |
| 2000 | +5.7% | +5.4% | -6.9% | +12.5% |
| 2001 | +3.9% | +3.9% | -9.8% | +13.7% |
| 2002 | -6.8% | -5.1% | -23.9% | +17.1% |
| 2003 | +21.2% | +21.5% | +22.1% | -0.8% |
| 2004 | +7.6% | +7.7% | +7.7% | -0.2% |
| 2005 | +5.1% | +5.1% | +5.1% | -0.0% |
| 2006 | +12.3% | +10.4% | +10.4% | +1.8% |
| 2007 | +7.9% | +8.7% | +4.5% | +3.4% |
| 2008 | -15.4% | -20.1% | -36.0% | +20.6% |
| 2009 | +26.5% | +23.8% | +23.8% | +2.7% |
| 2010 | +16.0% | +10.6% | +10.6% | +5.4% |
| 2011 | +1.3% | -0.7% | -0.7% | +2.0% |
| 2012 | +8.2% | +9.8% | +9.8% | -1.6% |
| 2013 | +25.2% | +26.0% | +26.0% | -0.8% |
| 2014 | +8.2% | +12.4% | +12.4% | -4.2% |
| 2015 | +1.3% | +0.6% | +0.8% | +0.5% |
| 2016 | +8.7% | +14.0% | +13.7% | -5.1% |
| 2017 | +18.4% | +18.4% | +18.4% | +0.0% |
| 2018 | -11.2% | -13.4% | -9.5% | -1.7% |
| 2019 | +15.3% | +17.2% | +27.1% | -11.8% |
| 2020 | -0.9% | +8.6% | +15.4% | -16.3% |
| 2021 | -0.0% | -0.3% | +25.8% | -25.9% |
| 2022 | +6.9% | +9.0% | -19.8% | +26.6% |
| 2023 | +10.5% | +10.6% | +24.3% | -13.8% |
| 2024 | +5.9% | +1.9% | +24.5% | -18.7% |
| 2025 | +5.6% | +6.2% | +16.7% | -11.1% |
| Average | +8.9% | +9.4% | +9.6% | -0.7% |
Strategy allocation over time (0-100%)
Average Position: 67.6%
Top drawdown events by magnitude (Position-Sized Strategy) — duration in trading days
| # | Peak Date | Trough Date | Drawdown | Days to Trough | Days to Recover | Total Duration |
|---|---|---|---|---|---|---|
| 1 | Sep 29, 2008 | Mar 9, 2009 | -37.7% | 22 | 31 | 53 |
| 2 | Oct 2, 2018 | Mar 24, 2020 | -23.9% | 74 | 131 | 205 |
| 3 | Jul 5, 2002 | Oct 7, 2002 | -19.2% | 13 | 33 | 46 |
| 4 | Apr 28, 2011 | Aug 8, 2011 | -15.4% | 14 | 26 | 40 |
| 5 | Apr 26, 2010 | Jun 29, 2010 | -11.6% | 9 | 16 | 25 |
| 6 | Jan 2, 1990 | Jan 30, 1990 | -9.9% | 4 | 15 | 19 |
| 7 | Jul 16, 1990 | Oct 16, 1990 | -9.3% | 13 | 17 | 30 |
| 8 | Apr 3, 2012 | Jun 21, 2012 | -8.4% | 11 | 25 | 36 |
| 9 | Feb 2, 1994 | May 9, 1994 | -8.2% | 13 | 39 | 52 |
| 10 | Mar 5, 2004 | Aug 12, 2004 | -8.2% | 22 | 12 | 34 |
Want to learn more about our models and methodology? View detailed methodology →