Factor strategies rank by a characteristic that research has linked to future returns: profitability, growth acceleration, value versus growth style, or the skew of recent returns. They hold the top of the ranking and rebalance on a schedule, usually with a market filter on top.
5 strategies. Median max drawdown 35.0%, median CAGR 17.9%. Shallowest drawdown: Mega-Cap Price Acceleration and Quality Engine (-14.0%). Highest return per unit of drawdown: Mega-Cap Price Acceleration and Quality Engine (1.11).
By asset class: US stocks & ETFs 4, Crypto 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 | Max drawdown | Risk tier | CAGR | Sharpe | Return ÷ drawdown | Period |
|---|---|---|---|---|---|---|---|
| 1 | Mega-Cap Price Acceleration and Quality Engine | -14.0% | Lower drawdown | +15.6% | 1.33 | 1.11 | 2016–2026 |
| 2 | Dynamic Factor Strength Strategy | -24.1% | Moderate drawdown | +17.9% | 0.97 | 0.74 | 2016–2026 |
| 3 | Growth-Value Style Selection | -35.0% | High drawdown | +29.6% | 0.97 | 0.85 | 2016–2026 |
| 4 | Gross Profitability and Price Acceleration | -36.6% | Very high drawdown | +17.4% | 0.78 | 0.48 | 2016–2026 |
| 5 | Realized Skewness Lottery Demand | -66.8% | Very high drawdown | +18.0% | 0.66 | 0.27 | 2019–2026 |
Re-run 2026-10-04.
Mega-Cap Price Acceleration and Quality Engine, with a worst fall of -14.0% and a CAGR of +15.6% from 2016-10-21 to 2026-10-02.
Mega-Cap Price Acceleration and Quality Engine: +15.6% CAGR against a -14.0% max drawdown, a return-to-drawdown (Calmar) ratio of 1.11.
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.