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.
13 strategies. Median max drawdown 27.0%, median CAGR 17.8%. Shallowest drawdown: Tactical ETF Regime Switcher (-14.6%). Highest return per unit of drawdown: Tactical ETF Regime Switcher (2.46).
By asset class: US stocks & ETFs 11, Crypto 2.
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 | Tactical ETF Regime Switcher | -14.6% | Lower drawdown | +35.9% | 1.56 | 2.46 | 2020–2026 |
| 2 | Tactical Index Acceleration | -14.7% | Lower drawdown | +17.2% | 1.11 | 1.17 | 2016–2026 |
| 3 | Asymmetric Sharpe Perpetual Corridor | -16.8% | Moderate drawdown | +18.6% | 1.17 | 1.11 | 2020–2026 |
| 4 | Canary-Signaled Tactical ETF Strategy | -16.9% | Moderate drawdown | +4.5% | 0.46 | 0.27 | 2016–2026 |
| 5 | Vigilant Leveraged Trend Rotation | -18.6% | Moderate drawdown | +10.7% | 0.82 | 0.57 | 2016–2026 |
| 6 | Tactical Leveraged Trend Rotation | -25.4% | High drawdown | +17.8% | 0.81 | 0.7 | 2016–2026 |
| 7 | Same-Weekday Return Continuation | -27.0% | High drawdown | +12.9% | 0.66 | 0.48 | 2016–2026 |
| 8 | Velocity Strength Filter | -27.4% | High drawdown | +17.6% | 0.84 | 0.64 | 2016–2026 |
| 9 | Return Stacking with Capital-Efficient Overlays | -33.5% | High drawdown | +43.7% | 1.17 | 1.3 | 2016–2026 |
| 10 | Fifty-Two Week High Leaderboard | -34.5% | High drawdown | +15.8% | 0.72 | 0.46 | 2016–2026 |
| 11 | Faber Ivy Amplified Leaderboard | -49.6% | Very high drawdown | +51.7% | 1.01 | 1.04 | 2016–2026 |
| 12 | Leveraged Dual Momentum ETF | -57.2% | Very high drawdown | +38.5% | 0.89 | 0.67 | 2018–2026 |
| 13 | Crypto Multi-Asset Momentum & Trend System | -58.1% | Very high drawdown | +43.2% | 0.94 | 0.74 | 2020–2026 |
Re-run 2026-10-04.
Tactical ETF Regime Switcher, with a worst fall of -14.6% and a CAGR of +35.9% from 2020-09-18 to 2026-10-02.
Tactical ETF Regime Switcher: +35.9% CAGR against a -14.6% max drawdown, a return-to-drawdown (Calmar) ratio of 2.46.
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.