These strategies trade US-listed stocks and ETFs, including 3x leveraged index ETFs such as TQQQ and UPRO with Treasury, gold or cash ETFs as the defensive side. Most of them switch between a growth sleeve and a defensive sleeve on a trend or momentum signal, so the drawdown they report is mostly the cost of the signal being late, not the full fall of the leveraged fund itself.
6 strategies. Median max drawdown 32.0%, median CAGR 18.1%. Shallowest drawdown: Dynamic Factor Strength Strategy (-24.1%). Highest return per unit of drawdown: Growth-Value Style Selection (0.84).
By strategy type: Momentum rotation 3, Factor 2, Trend following 1.
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 | 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.
Dynamic Factor Strength Strategy, with a worst fall of -24.1% and a CAGR of +18.0% from 2016-10-24 to 2026-10-05.
Growth-Value Style Selection: +29.5% CAGR against a -35.0% max drawdown, a return-to-drawdown (Calmar) ratio of 0.84.
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.