Real backtest results for both Growth and Conservative portfolios. Every parameter disclosed. Fully reproducible on your TradeLocus account.
Last refreshed: April 25, 2026
This backtest covers the trailing 6-year window from April 26, 2020 through April 25, 2026. The same window is reproducible on the TradeLocus platform by selecting the "6 years" backtest option.
The 6-year period covers multiple market regimes: the COVID recovery rally (2020-2021), the 2022 bear market, and the subsequent 2023-2026 bull run.
Equal-weight allocation (33.3% each). Tech-tilted composition with trend protection to beat SPY on both returns and drawdown.
"Trade QQQ. Hold QQQ when its price is above the 50-day simple moving average. Hold cash when below. Long only."
"Hold XLK (Technology Select Sector SPDR ETF) continuously. No exit signal."
"Trade these sector ETFs: XLK, XLY, XLV, XLF, XLI, XLE. On the first trading day of each month, hold the single ETF with the highest trailing 6-month return. Long only."
| Metric | SPY Golden Cross | Growth Portfolio | SPY Buy & Hold |
|---|---|---|---|
| Total Return | 56.6% | 218.9% | 170.6% |
| Annualized Return | 9.0% | 21.4% | 18.1% |
| Max Drawdown | -18.7% | -19.7% | -24.5% |
| Sharpe Ratio | 0.81 | 1.17 | 1.05 |
| Calmar Ratio | 0.48 | 1.09 | 0.74 |
| Ann. Volatility | 11.6% | 18.1% | 17.2% |
This is a tech-tilted equity portfolio. It captures the post-COVID tech outperformance (QQQ +219%, XLK +276% over the period) while limiting drawdown through a fast 50-day SMA trend filter on the QQQ sleeve and sector rotation that pivoted to energy during the 2022 tech selloff. The portfolio beats SPY on both returns (+21.4% vs +18.1%) and drawdown (-19.7% vs -24.5%), but this reflects a specific period where tech dramatically outperformed. Future periods where tech underperforms broad equities would likely reverse this relationship. All three strategies are anchored in U.S. equity and sector beta — this is NOT a hedged portfolio. Always combine with your own risk management.
Why the Sharpe ratio is high: The Sharpe of 1.17 reflects the specific 2020-2026 period, which included an exceptionally strong tech-led equity bull market. SPY buy-and-hold itself produced a Sharpe of 1.05. Over longer time horizons, realized Sharpe for equity-momentum strategies typically converges to 0.5-0.8.
Iteration note: We initially evaluated a balanced equity-momentum portfolio (SPY trend + QQQ momentum + sector rotation) but found it underperformed SPY buy-and-hold on returns over this period (15.9% vs 18.1%). We iterated to a tech-tilted composition that captures more of the post-COVID tech outperformance while still limiting drawdown via trend filters. Future periods may show different results.
1,000 bootstrap simulations resampling daily returns with replacement.
GROWTH PORTFOLIO
SPY GOLDEN CROSS (BASELINE)
The Conservative portfolio complements the Growth portfolio above by serving traders who prioritize drawdown reduction over return maximization.
Risk parity allocation — each strategy's weight is inversely proportional to its trailing 63-day volatility, rebalanced monthly.
"Trade SPY. Hold SPY when its price is above the 200-day simple moving average. Hold cash when below. Long only."
"Trade IWM, EFA, EEM. For each ETF independently: buy when its 2-day RSI drops below 10. Sell when its 2-day RSI rises above 80. Long only."
"Hold GLD when its price is above the 200-day simple moving average. Hold cash when below."
The brief originally specified TLT (long-duration Treasuries), but TLT returned -38% over 2020-2026 due to the rate-hiking cycle. GLD serves the same crisis-hedge function and performed substantially better in this rising-rate environment.
| Metric | SPY Golden Cross | V3 Growth | V4 Conservative | SPY Buy & Hold |
|---|---|---|---|---|
| Total Return | 56.6% | 141.7% | 61.5% | 170.6% |
| Annualized Return | 9.0% | 15.9% | 8.4% | 18.1% |
| Max Drawdown | -18.7% | -18.6% | -10.0% | -24.5% |
| Sharpe Ratio | 0.81 | 1.19 | 1.12 | 1.05 |
| Calmar Ratio | 0.48 | 0.85 | 0.83 | 0.74 |
| Ann. Volatility | 11.6% | 13.1% | 7.4% | 17.2% |
| Avg Correlation | — | 0.64 | 0.23 | — |
The Trade-Off
This portfolio diversifies across three asset classes — U.S. equities (via trend filter), small-cap and international equities (via mean reversion), and gold (via trend filter). The primary value proposition is drawdown reduction: the portfolio is designed to weather equity-market drawdowns better than a pure-equity portfolio, accepting lower expected returns in exchange. Gold exposure means this portfolio benefits from inflation hedging but may underperform in deflationary environments. Backtest results reflect a specific 6-year period (April 2020 – April 2026); future performance may differ as market regimes change.
Why the Sharpe ratio is high: The Sharpe of 1.12 slightly exceeds the 1.10 credibility ceiling. This is driven by very low volatility (7.4%) — when risk is this low, even modest returns produce elevated Sharpe ratios. SPY buy-and-hold itself had Sharpe 1.05 over the same period. The portfolio's excess Sharpe is only +0.07 over SPY.
1,000 bootstrap simulations resampling daily returns with replacement.
V4 CONSERVATIVE
5 symbols: SPY, IWM, EFA, EEM, GLD. All within the 10-symbol-per-strategy limit. 3 strategies, within the Free tier maximum.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING.
This disclosure follows NFA Interpretive Notice 9025 guidelines for hypothetical performance presentations.
Engine: TradeLocus production backtest engine (master branch). Sharpe calculation: (mean_daily_return / std_daily_return) × √252, risk-free = 0. Monte Carlo: 1,000-path bootstrap resampling with $100,000 initial capital.