Rotation strategies rank a fixed list of assets by recent strength, hold the leaders, and move to a defensive asset when nothing ranks well. The ranking window, the rebalance day and the defensive rule are what separate one rotation from another, and they decide most of the drawdown.
3 strategies. Median max drawdown 29.4%, median CAGR 17.7%. Shallowest drawdown: Velocity Strength Filter (-27.4%). Highest return per unit of drawdown: Velocity Strength Filter (0.65).
By asset class: US stocks & ETFs 3.
Each dot is one strategy: further left is a shallower worst fall, higher up is a higher annual rate. The upper-left corner is where return came with the least drawdown.
| # | Strategy | Worst drop (max drawdown) | Risk tier | Yearly growth (CAGR) | Return per unit of risk (Sharpe) | Return ÷ drawdown | Period |
|---|---|---|---|---|---|---|---|
| 1 | Velocity Strength Filter | -27.4% | High drawdown | +17.7% | 0.84 | 0.65 | 2016–2026 |
| 2 | Tactical Leveraged Trend Rotation | -29.4% | High drawdown | +18.2% | 0.84 | 0.62 | 2016–2026 |
| 3 | 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.
Velocity Strength Filter, with a worst fall of -27.4% and a CAGR of +17.7% from 2016-10-24 to 2026-10-05.
Velocity Strength Filter: +17.7% CAGR against a -27.4% max drawdown, a return-to-drawdown (Calmar) ratio of 0.65.
No. Each number comes from re-running the strategy's current code on historical prices. Backtests leave out some real costs and do not predict future returns.
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.