Performance

20-year historical proof · 2006 – present · trend-confirmed momentum vs S&P 500

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Live · out-of-sample · since Mar 20, 2026

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Balanced

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SPY

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Alpha

Live · Out-of-sample

since Mar 20, 2026 · not backtested

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Balanced

—

SPY

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Alpha

Portfolio Modes

Two levels of conviction, one engine

Both modes run the same systematic process. The difference is how concentrated the position is.

Balanced

Top 2 sectors · 50% each · weekly rebalance

Pro

48.62%

CAGR

1.182

Sharpe

-47.3%

Max DD

$27.8M

$10k → (20yr)

Capital split equally across the top 2 qualifying sectors. 16-week momentum lookback. Better risk-adjusted returns and shallower drawdowns. Suitable for most investors.

Growth

Top 1 sector · 100% concentration · monthly rebalance

Premium

60.65%

CAGR

1.057

Sharpe

-75.8%

Max DD

$132.2M

$10k → (20yr)

Same systematic process, maximum concentration. 26-week lookback for stronger signal confirmation before committing. 100% in the single best sector. Higher return potential, with -75.8% drawdowns that require strong conviction and a long time horizon.

20-Year Performance Comparison (2006–present)

Momentum Strategy vs S&P 500, logarithmic scale

Market Regimes

How it performed when it mattered most

Strategy vs S&P 500 during major market dislocations

2008 Financial Crisis

Outperformed

-4.6%

Strategy

-40.4%

S&P 500

The EMA trend filter rotated out of equities early. While most investors lost 40%+, the strategy avoided the worst of the crash by holding only assets still in confirmed uptrends.

2022 Bear Market

Outperformed

+11.6%

Strategy

-16.6%

S&P 500

The EMA filter correctly blocked crypto allocation (BTC fell below the EMA threshold). The strategy rotated into Energy and commodities, gaining +11.6% while SPY fell -16.6%, a 28-point swing.

2024

Outperformed

+44.4%

Strategy

+28.8%

S&P 500

Bitcoin returned to a confirmed uptrend and earned portfolio allocation. Combined with commodity sectors, the strategy outpaced the S&P 500 by over 15 percentage points.

2023 Recovery

Underperformed

-2.8%

Strategy

+24.3%

S&P 500

The AI-driven tech rally concentrated gains in a handful of mega-cap stocks. The momentum rotation held sectors that lagged the narrow S&P recovery, underperforming significantly. Not all years go our way.

Detailed Backtest Metrics

CAGR (Annualised Return)

48.62%10.80%

Sharpe Ratio

1.1820.590

Max Drawdown

-47.3%-55.2%

vs SPY (annual alpha)

+37.8%—

Lookback Period

16 weeksN/A

Concentration

Top 2 · 50/50N/A

Entry Filter

EMA filterN/A

Rebalance Cadence

Weekly (7 days)N/A

■ Strategy■ S&P 500 (buy & hold)

Methodology

Understand the rules behind the strategy

How it works

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Backtested 2006–2026 on 16 sector ETFs plus direct BTC and ETH. Hypothetical results. Past performance does not guarantee future returns.