Risk Parity + Position Cap
Risk-based sizing · Equity ETFs · Daily
The rules, in plain English
This runs risk parity across sector funds, then chains on a hard cap: no single position may exceed 25%. The cap stops the maths from concentrating the portfolio in one calm-looking sector. Its published profit factor was unusually high and its drawdown was also the deepest in the set — both numbers deserve scepticism and respect at once.
The published backtest
| Total return | +677.0% |
|---|---|
| CAGR (annual growth rate) | +8.21% |
| Sharpe ratio | 0.45 |
| Maximum drawdown (worst peak-to-trough fall) | -47.9% |
| Win rate | 82.0% |
| Profit factor | 11.14 |
| Risk grade (our shorthand, from the published figures) | D |
| Asset class | Equity ETFs |
| Style | 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: -47.9% — 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.