Vol-Targeted Momentum
Momentum / Risk-based sizing · Multi-asset · Daily
The rules, in plain English
This does the same volatility scaling for a momentum basket, aiming at a higher 15% volatility target. Its published return was among the strongest in the set. So was its worst drawdown — over 40% — which is the honest price tag attached to that return.
The published backtest
| Total return | +621.0% |
|---|---|
| CAGR (annual growth rate) | +10.96% |
| Sharpe ratio | 0.57 |
| Maximum drawdown (worst peak-to-trough fall) | -41.2% |
| Win rate | 64.6% |
| Profit factor | 2.05 |
| Risk grade (our shorthand, from the published figures) | C |
| Asset class | Multi-asset |
| Style | Momentum / 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 made money in its published backtest, but modestly for the risk taken — look at the Sharpe ratio and the worst drawdown together before forming any opinion.
Worst drawdown in the published test: -41.2% — 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.