Seed: 1337 | 20y daily bars | initial $100,000 | region-A config Universe: AMP, BEN, CCL, CHRW, CMCSA, DIS, DOV, ETR, FITB, HON, INVH, JPM, LITE, ORLY, SYK, TDY, TT, TXT, USB, WFC
Portfolio results
- Final equity: $383,427 (+283.43%)
- Last 5y: +31.13% (CAGR +5.57%)
- SPY buy&hold (20y): +757.95% | SPY last 5y: +85.35%
- CAGR: +7.04% | MaxDD: 40.11% | Sharpe: 0.446
- Trades: 1417 | Win rate: 46.2% | PF: 1.248
- Positive months: 120/239 | Green years: 14/21
Year by year
| 2006 | +0.00% | | 2007 | +0.00% | | 2008 | +0.00% | | 2009 | +10.55% | | 2010 | +11.24% | | 2011 | -3.17% | | 2012 | +17.08% | | 2013 | +9.80% | | 2014 | +14.70% | | 2015 | +0.94% | | 2016 | +17.76% | | 2017 | +9.41% | | 2018 | -6.29% | | 2019 | +17.41% | | 2020 | -7.25% | | 2021 | +21.86% | | 2022 | -21.96% | | 2023 | +4.14% | | 2024 | +20.25% | | 2025 | +9.80% | | 2026 | +26.10% |
35% lock comparison (pre-fix max_drawdown_total 0.35)
- Final equity: $355,144 (+255.14%)
- Last 5y: +31.13% (CAGR +5.57%)
- CAGR: +6.63% | MaxDD: 40.15% | PF: 1.242
- Trades: 1415 | Green years: 14/21
- 2023-26 window: +73.11% vs +73.11% with the 0.50 breaker
Verdict
MIXED / INCONCLUSIVE — random unseen names returned +283.43% vs SPY +757.95% (P/L 1.25).
Breaker effect: the 35% lock retired the strategy for 2023-26 (+73.11%, 1415 total trades) vs the live 0.50 setting (+73.11%, 1417 trades).