2005–2025

Backtesting results

Simulated performance on 99%+ quality tick data with realistic spreads, checked in-sample and out-of-sample. These figures are not live trading results.

Important

These are backtested results, not live trading performance. Past performance is not indicative of future results. Real drawdowns can exceed backtested drawdowns. Backtesting is subject to limitations including curve fitting, survivorship bias, and the assumption of perfect execution. Never invest money you cannot afford to lose.

Equity curve

Performance equity curve

Cumulative backtested returns from 2005 to 2025.

Equity curve · 2005–2025 Peak +697% Max DD 9.2%
Backtested, cumulative, gross of fees. Hover or drag across the curve to read any month. Past performance is not indicative of future results.
Monthly

Monthly returns

Year-by-year monthly returns. The year column stays pinned while scrolling months.

Monthly returns (%) · 2005–2025 21 rows · scroll for months
Backtested monthly returns in percent by year, 2005 to 2025, with year-to-date totals
Year JanFebMar AprMayJun JulAugSep OctNovDec YTD
2025 is a partial year — months after September show 0 because the backtest sample ends there, not because the strategy was flat.
Seasonality

Monthly seasonality

Average monthly performance and win rate across the 20 complete backtested years.

Seasonality · 20-year average 2005–2024 complete years
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Metrics

Backtesting metrics

From 249 months of backtested data across 20 complete years.

+33.1%
Avg annual return
Mean across 20 full years
67.5%
Monthly win rate
168 of 249 months profitable
3.5:1
Monthly gain/loss ratio
Total positive months / total negative months return
9.2%
Max drawdown
Worst peak-to-trough decline
20/20
Positive years
Every full year was profitable
+694%
Total return
Cumulative since Jan 2005
Avg winning month
+5.78%
Avg losing month
−3.42%
Best single month
+19.41%
Worst single month
−9.35%
Best year
2020 (+83.5%)
Weakest year
2019 (+1.0%)
Max win streak
11 months
Max lose streak
5 months