Two US stocks & ETFs strategies from the top of the return-to-drawdown ranking, compared on the same measures: how far each fell, how fast each grew, and how much return each bought per unit of risk.
| Intraday Opening Range Breakout | Mega-Cap Price Acceleration and Quality Engine | |
|---|---|---|
| Max drawdown | -30.9% | -14.0% |
| CAGR | +35.3% | +15.6% |
| Calmar (CAGR ÷ drawdown) | 1.14 | 1.11 |
| Sharpe | 1.06 | 1.33 |
| Total return | +1911.3% | +321.3% |
| Risk tier | High drawdown | Lower drawdown |
| Strategy type | Intraday & microstructure | Factor |
| Period | 2016-10-21 – 2026-10-02 | 2016-10-21 – 2026-10-02 |
Mega-Cap Price Acceleration and Quality Engine had the shallower worst fall (-14.0%). Intraday Opening Range Breakout compounded faster (+35.3% a year). On return per unit of drawdown Intraday Opening Range Breakout leads, 1.14 against 1.11.
$10,000 start, 2016-10-21 – 2026-10-02, SPY dashed.
$10,000 start, 2016-10-21 – 2026-10-02, SPY dashed.
Mega-Cap Price Acceleration and Quality Engine, at -14.0%.
Intraday Opening Range Breakout on the Calmar ratio (1.14 vs 1.11); Mega-Cap Price Acceleration and Quality Engine on the Sharpe ratio (1.33).
Both are US stocks & ETFs strategies re-run with their current code on historical prices, over the same period (2016-10-21 – 2026-10-02).
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.