Trend-following rules stay invested while prices hold above a moving average or keep making new highs, and step aside when the trend breaks. They give up the first part of every rally and the first part of every fall; what they buy is a smaller worst case when a decline keeps going.
4 strategies. Median max drawdown 32.2%, median CAGR 16.4%. Shallowest drawdown: The Turtle Tactical Trend System (-25.5%). Highest return per unit of drawdown: The Turtle Tactical Trend System (0.62).
By asset class: US stocks & ETFs 4.
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 | The Turtle Tactical Trend System | -25.5% | High drawdown | +15.8% | 0.77 | 0.62 | 2016–2026 |
| 2 | Tactical Gearing System | -31.0% | High drawdown | +17.0% | 0.9 | 0.55 | 2016–2026 |
| 3 | Asymmetric Trend-Following System | -33.4% | High drawdown | +12.1% | 0.63 | 0.36 | 2016–2026 |
| 4 | Kaufman Efficiency Index Strategy | -48.6% | Very high drawdown | +23.5% | 0.82 | 0.48 | 2016–2026 |
Re-run 2026-10-04.
The Turtle Tactical Trend System, with a worst fall of -25.5% and a CAGR of +15.8% from 2016-10-21 to 2026-10-02.
The Turtle Tactical Trend System: +15.8% CAGR against a -25.5% max drawdown, a return-to-drawdown (Calmar) ratio of 0.62.
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.