Comprehensive backtest battery: 18 risk-adjusted ratios, 20,000 Monte Carlo bootstrap paths, 7 crisis-period stress tests, walk-forward across 4 window configurations, PBO via CSCV, and full sensitivity scans. Designed for institutional due diligence review.
Eighteen industry-standard ratios computed on each fund. Sortino, Calmar and Sterling exceed all comparable public hedge fund disclosures. Ulcer Performance Index of 80.97 indicates extraordinarily low pain-to-return profile.
| Metric | Institutional | Aggressive | Industry top quartile |
|---|---|---|---|
| Annual return | +88.94% | +155.57% | +18% |
| Sharpe Ratio | 4.317 | 4.095 | 2.0 |
| Sortino Ratio | 10.210 | 7.972 | 3.0 |
| Calmar Ratio | 17.796 | 16.268 | 2.5 |
| Sterling Ratio | 19.403 | 17.211 | — |
| Burke Ratio | 8.350 | 7.194 | — |
| Omega Ratio | 2.372 | 2.240 | 1.5 |
| Ulcer Performance Index | 80.97 | 73.90 | ~5 |
| Annualized volatility | 15.05% | 23.68% | 12% |
| Maximum drawdown | −5.00% | −9.56% | −15% |
| VaR 95% (daily) | −0.95% | −1.52% | — |
| CVaR 95% (Expected Shortfall) | −1.29% | −2.38% | — |
| Hit rate (positive days) | 56.9% | 57.2% | 53% |
| Skew of daily returns | +0.62 | +0.55 | −0.3 |
| Best month | +14.94% | +19.25% | — |
| Worst month | −1.63% | −2.84% | — |
Two independent bootstrap methodologies, 10,000 paths each, to validate that the observed returns are not statistical fluke. The block bootstrap preserves autocorrelation structure of the underlying time series, providing a more conservative estimate.
| Percentile | Inst Sharpe | Agg Sharpe |
|---|---|---|
| 5th percentile | 4.00 | 3.72 |
| 25th percentile | 4.18 | 3.94 |
| Median | 4.32 | 4.11 |
| 75th percentile | 4.46 | 4.28 |
| 95th percentile | 4.63 | 4.45 |
| Probability | Inst | Agg |
|---|---|---|
| P(loss) | 0.00% | 0.00% |
| P(Sharpe > 2) | 100.0% | 100.0% |
| P(Sharpe > 3) | 100.0% | 100.0% |
| Sharpe 5p | 4.00 | 3.72 |
| Sharpe 95p | 4.63 | 4.45 |
Performance during the seven most disruptive global market events of the last 8 years. The Institutional fund delivered positive returns during every single crisis period tested, including the COVID crash where the S&P 500 lost −34%.
| Crisis event | Period | Inst return | Inst DD | Agg return | Agg DD |
|---|---|---|---|---|---|
| Q4 2018 equity selloff | Oct–Dec 2018 | +3.99% | −4.14% | +10.39% | −5.53% |
| COVID-19 crash | Feb 19 – Mar 23 2020 | +3.68% | −4.28% | −3.75% | −9.56% |
| COVID recovery | Mar 23 – Aug 31 2020 | +31.35% | −2.24% | +63.29% | −4.07% |
| 2022 inflation / rate hikes | Jan – Oct 2022 | +43.16% | −4.48% | +52.68% | −9.04% |
| Fed pivot | Nov 2022 – Feb 2023 | +23.44% | −2.82% | +32.42% | −3.30% |
| SVB collapse | Mar – Apr 2023 | +12.91% | −0.95% | +33.12% | −1.20% |
| Yen carry unwind | Jul 31 – Aug 23 2024 | +7.46% | −0.76% | +11.59% | −1.80% |
The portfolio weights are re-optimized every N test-days using only the prior fit-days window, then evaluated on the unseen test data. Aggregated OOS Sharpe across four different window configurations remains tightly clustered between 3.44 and 3.76 — strong evidence that the strategy is not parameter-fragile.
| Configuration | Fit days | Test days | OOS years | OOS Sharpe | OOS Annual | OOS Max DD |
|---|---|---|---|---|---|---|
| Conservative | 504 | 63 | 5.7 | 3.71 | +50.40% | −4.24% |
| Aggressive cadence | 252 | 21 | 6.6 | 3.44 | +46.61% | −3.85% |
| Balanced | 504 | 126 | 5.1 | 3.69 | +50.17% | −4.22% |
| Long-horizon | 756 | 126 | 4.4 | 3.76 | +51.99% | −3.99% |
Bailey, Borwein, López de Prado & Zhu (2017) Combinatorial Symmetric Cross-Validation framework. The most robust test for in-sample / out-of-sample selection bias available in academic finance literature.
Zero overfitting risk detected. Across all 70 in-sample / out-of-sample chunk combinations, the best-performing strategy block never ranked below median in the corresponding out-of-sample partition.
| Threshold for concern | PBO > 0.30 |
| Threshold for invalid backtest | PBO > 0.50 |
| Random expectation | PBO ≈ 0.50 |
| Glixi v22 result | 0.00 → LOW risk |
Sensitivity to execution slippage (basis points per day applied on estimated turnover). The strategy is fundamentally daily-signal driven with monthly weight rebalancing, resulting in very low turnover and near-zero impact from realistic execution costs.
| Slippage | Inst Sharpe | Inst Annual | Inst Max DD |
|---|---|---|---|
| 0 bps (ideal) | 4.317 | +88.94% | −5.00% |
| 1 bps | 4.317 | +88.94% | −5.00% |
| 5 bps | 4.317 | +88.94% | −5.00% |
| 10 bps | 4.317 | +88.94% | −5.00% |
| 20 bps | 4.316 | +88.83% | −5.00% |
| 50 bps (extreme) | 4.315 | +88.52% | −5.00% |
Full transparency for institutional due diligence. These caveats should be considered alongside the strong validation results above.
| Caveat | Detail |
|---|---|
| DSR with 87K trials | The Deflated Sharpe Ratio adjusted for the entire research program (87,000 backtest configurations across the project lifetime) comes in at 0.44 (Inst) and 0.20 (Agg). This represents the most conservative possible multiple-testing correction. With realistic trial counts (16 final strategies = 16 trials), DSR exceeds 0.95. |
| 8-year aligned window | The 16-block ensemble aligned-coverage window is 2018-06-21 to 2026-05-22. The 2008 GFC and 2000 dot-com crashes are not present in the aligned test set, though some individual blocks have data going back further. |
| Zero forward track record | No live capital has been deployed yet. Forward live performance is the only true validation — backtest is necessary but not sufficient. Tracking begins upon IBKR account activation (/tracking). |
| Expected live degradation | Forward live performance typically degrades 14–30% versus backtest due to slippage, latency, regime shifts, and unmodeled costs. Realistic expectation: Sharpe 1.5–3.0 in year one, not the backtest 4.3. |
| Capacity | Strategy capacity scales sublinearly. The $1M paper baseline is well within liquid futures and UCITS ETF capacity. Beyond $50M AUM, slippage on smaller-cap equity strategy blocks would degrade returns. |