Realized Skewness Lottery Demand compounded at +18.0% a year from 2019-11-30 to 2026-10-03, with a worst drawdown of -66.8% (very high drawdown). It ranks 27 of 27 re-run strategies by drawdown, shallowest first.
| Max drawdown | -66.8% |
|---|---|
| CAGR (annualized) | +18.0% |
| Sharpe | 0.66 |
| Total return | +211.0% |
| S&P 500 (SPY), same period | +147.0% |
| Return ÷ drawdown | 0.27 |
| Period | 2019-11-30 – 2026-10-03 (6.8 years) |
| Risk tier | Very high drawdown |
| Drawdown rank | 27 / 27 |
Equity curve of a $10,000 start, with SPY dashed.
The worst peak-to-trough fall was -66.8%: a $10,000 account would have dropped to about $3,325 at that point before recovering. The +18.0% CAGR is the annual rate that compounds the start value into the end value over 6.8 years; the return-to-drawdown ratio of 0.27 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 Realized Skewness and Lottery Demand. Numbers change when the strategy is re-run on newer data. The full write-up explains the rules.
This strategy is also paper-traded in the AI Trading League
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.