Backtests
Audited portfolio replays
Graph-only deployment snapshots for the 10-year candidate and two separate five-year validation eras.
Backtest
Risk-scaled portfolio replay
Candidate return
224.7%
Final $3,246.96
SPY total return
336.6%
Adjusted close; dividends reinvested
Excess vs SPY
-111.9%
Candidate minus SPY total return
Candidate max DD
29.7%
Strict ceiling: 30%
Accepted signals
6,535
31,318 skipped by capacity
2016-01-01 to 2026-06-12
6,535 accepted signals across 204 symbols
Ending value
$3,246.96
Started with $1,000.00
Total return
224.7%
CAGR 12.2%
Max drawdown
29.7%
2023-03-15; open positions 3
Accuracy
52.3%
PF 1.159
2021-01-01 to 2026-06-12
3,259 accepted signals across 204 symbols
Ending value
$1,824.96
Started with $1,000.00
Total return
82.5%
CAGR 11.7%
Max drawdown
29.7%
2023-03-15; open positions 3
Accuracy
50.7%
PF 1.154
2015-01-01 to 2020-12-31
3,854 accepted signals across 201 symbols
Ending value
$1,674.98
Started with $1,000.00
Total return
67.5%
CAGR 9%
Max drawdown
18.5%
2016-11-04; open positions 12
Accuracy
53.1%
PF 1.141
Portfolio sizing controls
These are the exact risk settings used by the displayed artifacts.
Max concurrent trades
12
Volatility lookback
10 days
Daily volatility target
0.0049
Risk scaling factor
1.75x
Volatility scale floor
0.25
Volatility scale cap
1.00
Drawdown throttle
Disabled