Vol-Targeted Trend
Trend following / Risk-based sizing · Multi-asset · Daily
The rules, in plain English
This holds an SMA trend basket, but scales the whole portfolio up or down to aim at a 10% volatility target. When markets get wild, exposure shrinks; when they calm down, exposure grows. Volatility targeting is about keeping risk steadier, not about forecasting returns.
The published backtest
| Total return | +169.0% |
|---|---|
| CAGR (annual growth rate) | +5.35% |
| Sharpe ratio | 0.36 |
| Maximum drawdown (worst peak-to-trough fall) | -28.9% |
| Win rate | 63.8% |
| Profit factor | 1.93 |
| Risk grade (our shorthand, from the published figures) | B |
| 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
Held up
This one held up in its published backtest: a positive return with a comparatively solid risk-adjusted result for this set. That is a statement about one historical test, not a promise about the future.
Worst drawdown in the published test: -28.9% — 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.