The Sharpe ratio is return per unit of day-to-day volatility. Ranking by it rather than by CAGR rewards strategies that earned steadily, and pushes down the ones whose high annual rate came with wild swings.
| # | 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 | Growth-Value Style Selection | -35.0% | High drawdown | +29.5% | 0.97 | 0.84 | 2016–2026 |
| 3 | Kaufman Efficiency Index Strategy | -48.6% | Very high drawdown | +25.1% | 0.86 | 0.52 | 2016–2026 |
| 4 | Velocity Strength Filter | -27.4% | High drawdown | +17.7% | 0.84 | 0.65 | 2016–2026 |
| 5 | Tactical Leveraged Trend Rotation | -29.4% | High drawdown | +18.2% | 0.84 | 0.62 | 2016–2026 |
| 6 | Fifty-Two Week High Leaderboard | -34.5% | High drawdown | +16.1% | 0.73 | 0.47 | 2016–2026 |
Backtest = historical simulation on past prices, not real trading.
Re-run 2026-10-08.
Dynamic Factor Strength Strategy at 0.97, with +18.0% CAGR and a -24.1% max drawdown from 2016-10-24 to 2026-10-05.
0 of 6. The median is 0.85.
All strategy backtests, lowest drawdown first
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.