Monthly + Circuit Breaker
Trend following / Risk-based sizing · Multi-asset · Daily
The rules, in plain English
This runs a monthly ETF trend portfolio, but adds a circuit breaker: if the portfolio falls 15% from its peak, it flattens everything and waits through a cooldown period. Circuit breakers are meant to stop a bad stretch from becoming a disaster. In the published run, the risk-adjusted result was still negative despite a small gain.
The published backtest
| Total return | +14.2% |
|---|---|
| CAGR (annual growth rate) | +0.70% |
| Sharpe ratio | -0.45 |
| Maximum drawdown (worst peak-to-trough fall) | -10.6% |
| Win rate | 53.3% |
| Profit factor | 1.11 |
| Risk grade (our shorthand, from the published figures) | F |
| Asset class | Multi-asset |
| Style | Trend following / Risk-based sizing |
| Timeframe | Daily |
| Type | Weights |
— 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: -10.6% — 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.