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O11 · OrdersGrade F

Trailing Stop-Limit

Trend following · Equity ETFs · Daily · Trailing Stop-Limit order

The rules, in plain English

This uses a trailing stop-limit order for its exit. When the trailing stop triggers, it converts into a limit order rather than selling at the market price. That gives more control over the exit price, with the same risk as any limit order: it might not fill.

The published backtest

Total return+28.1%
CAGR (annual growth rate)+1.00%
Sharpe ratio-0.38
Maximum drawdown (worst peak-to-trough fall)-6.2%
Win rate47.6%
Profit factor1.69
Risk grade (our shorthand, from the published figures)F
Asset classEquity ETFs
StyleTrend following
TimeframeDaily · Trailing Stop-Limit order
TypeOrders

— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.

Honest verdict

Made money, but cash did better risk-adjusted (negative Sharpe)

This one finished ahead in raw dollars, but its Sharpe ratio was negative — meaning that, after adjusting for the ups and downs taken along the way, cash would have been the better risk-adjusted choice in the published test.

Worst drawdown in the published test: -6.2% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.

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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.