Quarter-Hour Microstructure Flow compounded at +18.9% a year from 2019-11-30 to 2026-10-03, with a worst drawdown of -26.9% (high drawdown). It ranks 13 of 27 re-run strategies by drawdown, shallowest first.
| Max drawdown | -26.9% |
|---|---|
| CAGR (annualized) | +18.9% |
| Sharpe | 1.01 |
| Total return | +226.0% |
| S&P 500 (SPY), same period | +172.9% |
| Return ÷ drawdown | 0.7 |
| Period | 2019-11-30 – 2026-10-03 (6.8 years) |
| Risk tier | High drawdown |
| Drawdown rank | 13 / 27 |
Equity curve of a $10,000 start, with SPY dashed.
The worst peak-to-trough fall was -26.9%: a $10,000 account would have dropped to about $7,313 at that point before recovering. The +18.9% CAGR is the annual rate that compounds the start value into the end value over 6.8 years; the return-to-drawdown ratio of 0.7 says how many points of annual return each point of worst-case loss bought. Compare strategies on that pair, not on CAGR alone.
Re-run on 2026-10-04 with the strategy's current code on historical prices — a systematic take on The Quarter-Hour Effect. Numbers change when the strategy is re-run on newer data. The full write-up explains the rules.
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.