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 | 9.96% | 11.61% | 8.35% |
| Sharpe Ratio | 0.70 | 0.70 | 0.30 |
| Sortino Ratio | 0.74 | 0.76 | 0.38 |
| Calmar Ratio | 0.47 | 0.43 | 0.15 |
| Max Drawdown | -21.00% | -27.17% | -56.78% |
| Annual Volatility | 10.06% | 12.48% | 18.05% |
| Win Rate | 56.44% | 48.85% | 0.00% |
| Total Trades | 303 | 174 | N/A |
| Backtest Period | 36.2 years | 36.2 years | 36.2 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 | +17.1% | +19.4% | -8.7% | +25.8% |
| 1991 | +20.0% | +26.7% | +29.9% | -9.9% |
| 1992 | +5.5% | +5.2% | +5.2% | +0.4% |
| 1993 | +8.5% | +8.1% | +8.1% | +0.4% |
| 1994 | +1.3% | -0.1% | -1.7% | +3.0% |
| 1995 | +28.3% | +33.8% | +33.8% | -5.5% |
| 1996 | +18.0% | +20.1% | +20.1% | -2.1% |
| 1997 | +20.4% | +25.1% | +25.1% | -4.8% |
| 1998 | +23.6% | +36.6% | +25.8% | -2.2% |
| 1999 | +10.5% | +14.8% | +14.8% | -4.3% |
| 2000 | +6.3% | +6.3% | -6.9% | +13.1% |
| 2001 | +3.9% | +3.9% | -9.8% | +13.7% |
| 2002 | +5.7% | +8.0% | -23.9% | +29.6% |
| 2003 | +17.4% | +20.6% | +22.1% | -4.7% |
| 2004 | +7.1% | +7.7% | +7.7% | -0.6% |
| 2005 | +5.0% | +5.3% | +5.1% | -0.1% |
| 2006 | +8.3% | +10.0% | +10.4% | -2.1% |
| 2007 | -1.4% | -4.5% | +4.5% | -5.9% |
| 2008 | +8.0% | +8.4% | -36.0% | +44.0% |
| 2009 | +3.7% | -4.1% | +23.8% | -20.1% |
| 2010 | +10.0% | +10.6% | +10.6% | -0.6% |
| 2011 | -3.8% | -0.7% | -0.7% | -3.1% |
| 2012 | +8.0% | +9.8% | +9.8% | -1.7% |
| 2013 | +23.6% | +26.0% | +26.0% | -2.4% |
| 2014 | +9.0% | +12.4% | +12.4% | -3.4% |
| 2015 | -0.5% | -0.6% | +0.8% | -1.3% |
| 2016 | +4.8% | +7.6% | +13.7% | -9.0% |
| 2017 | +18.3% | +18.4% | +18.4% | -0.1% |
| 2018 | +6.0% | +12.2% | -9.5% | +15.5% |
| 2019 | +4.8% | +6.0% | +27.1% | -22.3% |
| 2020 | +5.1% | -2.9% | +15.4% | -10.3% |
| 2021 | +15.2% | +25.8% | +25.8% | -10.6% |
| 2022 | +6.5% | +8.2% | -19.8% | +26.3% |
| 2023 | +13.0% | +18.2% | +24.3% | -11.3% |
| 2024 | +16.3% | +24.5% | +24.5% | -8.2% |
| 2025 | +3.6% | +1.7% | +16.7% | -13.1% |
| Average | +9.9% | +11.9% | +9.6% | +0.3% |
Strategy allocation over time (0-100%)
Average Position: 56.3%
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 | Feb 15, 2011 | Aug 8, 2011 | -18.3% | 24 | 32 | 56 |
| 2 | Jan 8, 2009 | Mar 9, 2009 | -18.1% | 8 | 31 | 39 |
| 3 | Apr 26, 2010 | Jun 29, 2010 | -14.1% | 9 | 18 | 27 |
| 4 | Aug 23, 2002 | Oct 7, 2002 | -11.3% | 6 | 7 | 13 |
| 5 | Jan 17, 2020 | Mar 10, 2020 | -10.0% | 7 | 37 | 44 |
| 6 | May 19, 2015 | Jan 21, 2016 | -9.6% | 34 | 51 | 85 |
| 7 | Jan 23, 2018 | Mar 28, 2018 | -8.2% | 9 | 38 | 47 |
| 8 | Nov 25, 2002 | Mar 10, 2003 | -7.7% | 14 | 12 | 26 |
| 9 | Feb 20, 1997 | Apr 11, 1997 | -7.6% | 7 | 6 | 13 |
| 10 | Sep 17, 2012 | Nov 14, 2012 | -7.2% | 8 | 7 | 15 |
Want to learn more about our models and methodology? View detailed methodology →