Every strategy here was re-run with its current code on historical prices, and the table lists them from the shallowest maximum drawdown to the deepest. A high CAGR with a 50% drawdown is a different risk from the same CAGR with a 15% drawdown, so drawdown comes first and the return-to-drawdown ratio sits next to it. Backtests that stopped trading partway, returned nothing, or cover less than three years are left out rather than shown with an inflated annual rate.
| # | Strategy | Worst drop (max drawdown) | Risk tier | Yearly growth (CAGR) | Return per unit of risk (Sharpe) | Return ÷ drawdown | Period |
|---|---|---|---|---|---|---|---|
| 1 | Dynamic Factor Strength Strategy | -24.1% | Moderate drawdown | +18.0% | 0.97 | 0.75 | 2016–2026 |
| 2 | Velocity Strength Filter | -27.4% | High drawdown | +17.7% | 0.84 | 0.65 | 2016–2026 |
| 3 | Tactical Leveraged Trend Rotation | -29.4% | High drawdown | +18.2% | 0.84 | 0.62 | 2016–2026 |
| 4 | Fifty-Two Week High Leaderboard | -34.5% | High drawdown | +16.1% | 0.73 | 0.47 | 2016–2026 |
| 5 | Growth-Value Style Selection | -35.0% | High drawdown | +29.5% | 0.97 | 0.84 | 2016–2026 |
| 6 | Kaufman Efficiency Index Strategy | -48.6% | Very high drawdown | +25.1% | 0.86 | 0.52 | 2016–2026 |
Backtest = historical simulation on past prices, not real trading.
Re-run 2026-10-08.
Max drawdown is the worst fall from a previous high: the size of the loss you would have had to sit through. CAGR is the annual rate that compounds the start value into the end value. Return ÷ drawdown divides the two, so a strategy that earned 15% a year with a 15% worst fall scores 1.0, and one that earned 30% with a 60% fall scores 0.5. Sharpe measures return per unit of day-to-day volatility. A backtest is a simulation of rules on past prices, so read these numbers as evidence about how a rule behaved, not as a forecast.
Retired strategies: taken off this list after review, with the reason
Disclosure. Backtests are hypothetical simulations on historical data. They do not include every real-world cost, are not live results, and do not guarantee future returns. Educational research only, not investment advice.