Equal-weight mean of 28 single-asset trend sleeves; 5bps/side fees; one-bar-lag positions on close-to-close returns.
variant total cagr vol sharpe maxdd cal val
combined 1x 1.174 0.042 0.066 0.659 -0.123 0.352 0.608 vt10 1.668 0.054 0.095 0.599 -0.192 0.401 0.904 crashgate 1.561 0.051 0.064 0.819 -0.081 0.494 0.714 SPY B&H 6.203 0.111 0.198 0.631 -0.539 0.901 2.790 EW basket B&H 4.558 0.096 0.153 0.675 -0.411 0.781 2.121
Year by year: combined 1x vs SPY
| year | combined | SPY |
|---|---|---|
| 2007 | -2.1% | -3.3% |
| 2008 | -4.0% | -36.2% |
| 2009 | +10.6% | +22.7% |
| 2010 | +3.6% | +13.1% |
| 2011 | -2.4% | +0.9% |
| 2012 | +4.5% | +14.2% |
| 2013 | +9.5% | +29.0% |
| 2014 | +4.6% | +14.6% |
| 2015 | -3.9% | +1.3% |
| 2016 | +5.8% | +13.6% |
| 2017 | +9.3% | +20.8% |
| 2018 | -3.7% | -5.2% |
| 2019 | +6.8% | +31.1% |
| 2020 | +7.4% | +17.2% |
| 2021 | +10.6% | +30.5% |
| 2022 | -6.8% | -18.6% |
| 2023 | +3.4% | +26.7% |
| 2024 | +5.9% | +25.6% |
| 2025 | +10.5% | +18.0% |
| 2026 | +7.7% | +12.7% |
ALL DONE