Portfolio Performance Report
3 Blended Strategy Groups | 2022 – Today | 50 Months
Total Return
+4811.0%
Max Drawdown
22.0%
Sharpe Ratio
3.40
Calmar Ratio
7.07
CAGR (APY)
155.2%
Avg Yearly DD
14.8%
Max Recovery
135 days
Calmar (Avg DD)
10.52
Portfolio Equity & Drawdown
Monthly rebalanced portfolio with 22% Mean Reversion Slow Cycle / 52% Trend Following (ML) / 25% Mean Reversion Fast Cycle. Shows cumulative return and drawdown from peak.
Strategy Correlation Analysis
Pairwise Correlations
Mean Reversion Slow Cycle / Trend Following (ML): -0.033 — Strong diversification benefit (|r| < 0.3)
Mean Reversion Slow Cycle / Mean Reversion Fast Cycle: -0.071 — Strong diversification benefit (|r| < 0.3)
Trend Following (ML) / Mean Reversion Fast Cycle: 0.002 — Strong diversification benefit (|r| < 0.3)
Low correlation between strategies enables significant portfolio risk reduction through diversification while maintaining high risk-adjusted returns.
Rolling Correlation Over Time (30-Day Window)
Monthly Net Returns
Green = profitable month, Red = losing month. 38/50 positive months (76% win rate). Average monthly return: 8.28%
Other Analytics
Monthly/Annual returns breakdown, distribution analysis, and rolling risk metrics.
Results Summary
Comparison of individual strategies vs. the optimal blended portfolio.
| Strategy | ROI | Max DD | Sharpe | Sortino | CAGR | Calmar | X/mo | %cost/1x |
|---|---|---|---|---|---|---|---|---|
| Mean Reversion Slow Cycle | +531.2% | 40.9% | 1.14 | 1.43 | 55.8% | 1.37 | 16.2 | 0.0335% |
| Trend Following (ML) | +4688.7% | 29.6% | 2.52 | 5.77 | 153.7% | 5.19 | 24.9 | 0.2846% |
| Mean Reversion Fast Cycle | +8652.3% | 59.9% | 1.93 | 1.89 | 193.3% | 3.23 | 47.7 | 0.0000% |
| Blended (22% Mean Reversion Slow Cycle / 52% Trend Following (ML) / 25% Mean Reversion Fast Cycle) | +4811.0% | 22.0% | 3.40 | 5.48 | 155.2% | 7.07 | 28.7 | 0.1343% |
Monthly Performance Breakdown
Complete month-by-month performance with returns (%), max drawdown, and cumulative returns for each component and the blended portfolio.
| Month | Mean Reversion Slow Cycle % | Trend Following (ML) % | Mean Reversion Fast Cycle % | Blend % | Mean Reversion Slow Cycle DD | Trend Following (ML) DD | Mean Reversion Fast Cycle DD | Blend DD | Mean Reversion Slow Cycle Cum | Trend Following (ML) Cum | Mean Reversion Fast Cycle Cum | Blend Cum |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022-01 | -7.12% | +13.92% | +52.58% | +18.85% | 20.1% | 4.0% | 11.7% | 3.2% | -7.1% | +13.9% | +52.6% | +18.8% |
| 2022-02 | +60.58% | -2.00% | +34.59% | +21.08% | 27.6% | 4.7% | 13.7% | 2.7% | +49.2% | +14.5% | +115.1% | +47.6% |
| 2022-03 | +3.19% | +2.16% | +25.28% | +8.19% | 11.1% | 8.9% | 13.3% | 4.5% | +56.0% | +15.8% | +169.2% | +59.3% |
| 2022-04 | -10.00% | -2.85% | +53.00% | +9.07% | 18.2% | 8.9% | 4.3% | 4.7% | +40.5% | +14.9% | +301.0% | +74.5% |
| 2022-05 | -5.52% | +12.39% | -10.01% | +2.50% | 25.5% | 10.3% | 31.6% | 8.9% | +37.3% | +25.9% | +268.2% | +78.8% |
| 2022-06 | +4.29% | +1.86% | -19.51% | -2.80% | 25.1% | 5.0% | 59.9% | 15.8% | +43.1% | +31.6% | +191.2% | +75.4% |
| 2022-07 | +10.99% | +5.58% | +76.62% | +24.61% | 16.7% | 7.3% | 43.8% | 10.9% | +59.8% | +39.2% | +417.9% | +119.4% |
| 2022-08 | +26.12% | +7.05% | +10.81% | +12.32% | 10.6% | 6.4% | 11.9% | 5.0% | +102.6% | +47.7% | +470.7% | +145.4% |
| 2022-09 | +6.50% | -19.58% | -9.02% | -10.97% | 11.1% | 23.2% | 21.9% | 15.9% | +115.8% | +16.1% | +417.5% | +115.7% |
| 2022-10 | +6.17% | +1.71% | -12.16% | -0.78% | 9.9% | 28.1% | 36.4% | 22.0% | +128.6% | +17.9% | +357.5% | +114.0% |
| 2022-11 | -1.01% | +16.81% | +36.38% | +17.70% | 10.8% | 22.9% | 30.8% | 16.4% | +126.3% | +38.0% | +525.1% | +152.3% |
| 2022-12 | +2.80% | -5.35% | +7.91% | -0.18% | 4.7% | 16.3% | 4.8% | 4.2% | +132.6% | +30.4% | +580.9% | +152.2% |
| 2023-01 | -32.28% | +17.68% | +8.63% | +4.11% | 35.7% | 14.5% | 6.9% | 5.2% | +57.7% | +52.1% | +639.6% | +161.4% |
| 2023-02 | -5.88% | +5.56% | +11.07% | +4.36% | 39.4% | 12.5% | 12.3% | 5.6% | +48.5% | +58.3% | +725.2% | +171.2% |
| 2023-03 | +52.63% | +4.81% | +36.46% | +23.56% | 40.9% | 10.2% | 9.3% | 3.6% | +126.7% | +64.8% | +1032.0% | +234.3% |
| 2023-04 | +5.08% | +5.87% | +9.11% | +6.50% | 11.1% | 9.6% | 13.4% | 5.3% | +138.2% | +73.4% | +1138.3% | +255.1% |
| 2023-05 | +3.80% | +7.00% | +2.56% | +5.18% | 6.4% | 12.7% | 6.9% | 4.1% | +150.1% | +87.2% | +1162.8% | +275.8% |
| 2023-06 | +14.55% | +28.37% | +34.43% | +26.79% | 5.7% | 6.8% | 4.4% | 2.2% | +185.0% | +139.2% | +1605.2% | +375.2% |
| 2023-07 | +6.39% | +10.36% | +2.36% | +7.47% | 4.1% | 6.0% | 3.8% | 3.6% | +202.3% | +164.0% | +1647.5% | +410.5% |
| 2023-08 | +12.65% | +16.79% | -3.99% | +10.61% | 5.2% | 4.9% | 7.5% | 2.5% | +234.8% | +206.9% | +1589.9% | +462.3% |
| 2023-09 | +2.07% | +7.92% | +7.43% | +6.50% | 5.3% | 7.3% | 4.6% | 3.5% | +241.4% | +237.8% | +1732.5% | +506.4% |
| 2023-10 | -20.98% | +24.79% | -8.21% | +6.97% | 24.4% | 8.1% | 17.2% | 7.3% | +172.6% | +353.1% | +1543.2% | +571.8% |
| 2023-11 | +0.88% | -4.77% | +2.50% | -1.71% | 24.4% | 8.3% | 16.0% | 4.7% | +175.1% | +346.7% | +1639.2% | +578.1% |
| 2023-12 | +0.30% | +30.80% | +31.58% | +24.11% | 25.2% | 9.0% | 7.3% | 4.6% | +175.9% | +479.7% | +2190.1% | +738.2% |
| 2024-01 | +3.50% | +8.73% | -16.19% | +1.30% | 29.9% | 5.8% | 28.2% | 8.9% | +185.4% | +521.7% | +1807.4% | +741.6% |
| 2024-02 | -12.21% | +2.91% | +1.52% | -0.86% | 30.1% | 7.3% | 19.4% | 6.5% | +152.3% | +538.8% | +1855.1% | +737.0% |
| 2024-03 | +14.36% | +1.10% | +15.54% | +7.70% | 30.5% | 9.6% | 13.9% | 4.9% | +188.5% | +553.5% | +2216.6% | +812.9% |
| 2024-04 | +11.08% | +18.48% | +7.82% | +14.10% | 20.4% | 8.3% | 16.7% | 6.3% | +220.6% | +641.7% | +2317.6% | +910.3% |
| 2024-05 | +21.88% | -0.05% | +18.27% | +9.51% | 11.1% | 5.9% | 7.0% | 2.3% | +290.7% | +629.1% | +2713.7% | +992.4% |
| 2024-06 | +0.45% | +15.77% | +0.13% | +8.38% | 7.4% | 9.3% | 10.6% | 3.7% | +292.5% | +736.5% | +2719.0% | +1078.5% |
| 2024-07 | +11.00% | +20.38% | +9.83% | +15.63% | 12.8% | 8.9% | 8.3% | 2.3% | +336.5% | +907.4% | +2990.3% | +1263.0% |
| 2024-08 | +28.19% | +17.93% | +19.35% | +20.60% | 5.0% | 7.8% | 18.4% | 2.8% | +456.0% | +1096.6% | +3205.3% | +1505.0% |
| 2024-09 | -7.17% | -8.05% | +20.63% | -0.77% | 21.7% | 10.5% | 5.1% | 5.3% | +407.1% | +1036.6% | +3895.8% | +1514.8% |
| 2024-10 | -23.47% | +13.69% | +15.14% | +5.44% | 31.3% | 6.6% | 2.8% | 3.0% | +309.5% | +1212.3% | +4567.2% | +1643.8% |
| 2024-11 | -5.40% | +10.63% | -6.46% | +2.74% | 34.6% | 7.5% | 19.4% | 4.8% | +287.5% | +1344.7% | +4234.4% | +1684.0% |
| 2024-12 | +6.11% | +0.62% | +1.69% | +2.12% | 33.8% | 8.2% | 21.4% | 6.3% | +311.3% | +1358.0% | +4316.1% | +1725.6% |
| 2025-01 | +15.67% | +45.73% | +29.35% | +34.85% | 29.9% | 7.1% | 11.4% | 3.9% | +376.4% | +2020.4% | +5630.8% | +2362.1% |
| 2025-02 | +10.67% | +21.98% | -8.96% | +11.83% | 16.5% | 6.0% | 22.4% | 5.5% | +440.7% | +2553.0% | +5120.6% | +2706.7% |
| 2025-03 | -8.02% | -1.05% | +57.70% | +12.33% | 24.0% | 10.1% | 13.1% | 4.3% | +397.3% | +2508.6% | +8288.0% | +3057.0% |
| 2025-04 | +39.66% | +5.94% | +29.89% | +19.82% | 21.4% | 9.1% | 3.2% | 3.3% | +600.5% | +2600.5% | +11224.9% | +3682.0% |
| 2025-05 | -5.12% | -0.21% | +4.86% | -0.06% | 11.6% | 11.7% | 8.6% | 7.4% | +571.7% | +2597.4% | +11804.4% | +3693.2% |
| 2025-06 | +5.23% | +18.69% | -5.04% | +9.66% | 6.2% | 10.8% | 9.9% | 6.5% | +606.9% | +3053.4% | +11212.8% | +4027.4% |
| 2025-07 | -8.54% | +5.76% | +0.09% | +1.14% | 10.7% | 5.0% | 10.1% | 3.5% | +549.7% | +3279.7% | +11260.8% | +4112.1% |
| 2025-08 | +4.32% | +6.13% | +0.18% | +4.25% | 9.5% | 7.7% | 9.8% | 4.6% | +578.0% | +3581.6% | +11396.6% | +4363.5% |
| 2025-09 | +1.06% | +17.22% | +1.98% | +9.72% | 4.8% | 10.7% | 7.4% | 5.5% | +585.7% | +4156.8% | +11604.1% | +4761.2% |
| 2025-10 | +18.03% | -14.52% | +8.89% | -1.36% | 11.7% | 21.1% | 8.9% | 7.9% | +707.5% | +3545.3% | +12656.5% | +4698.2% |
| 2025-11 | -20.44% | +4.70% | +5.34% | -0.81% | 30.0% | 22.4% | 4.8% | 9.2% | +544.1% | +3708.8% | +13355.8% | +4658.4% |
| 2025-12 | +2.60% | -15.34% | -13.80% | -10.97% | 26.0% | 28.5% | 18.8% | 17.6% | +561.1% | +3206.0% | +11436.1% | +4187.1% |
| 2026-01 | -3.67% | +32.84% | -3.23% | +15.42% | 25.9% | 29.6% | 21.0% | 18.1% | +541.7% | +4219.1% | +11061.5% | +4813.8% |
| 2026-02 | -1.73% | +9.12% | -24.70% | -1.92% | 31.6% | 7.3% | 47.6% | 8.7% | +531.2% | +4688.7% | +8652.3% | +4811.0% |
Data & Configuration
Strategy Allocation
Mean Reversion Slow CycleTrend Following (ML)Mean Reversion Fast Cycle
Mean Reversion Slow CycleTrend Following (ML)Mean Reversion Fast Cycle
Execution Parameters
Fees & Slippage
Trend Following (ML)
0.035% (All Taker) · Slippage 0.03%
Mean Reversion Slow Cycle
0.01% Maker · 0.035% Taker · Slippage 1 m1 ATR
Mean Reversion Fast Cycle
0.036% fee per fill (bt_config) · Slippage 1 m1 ATR
Risk Protection Layers
Buffer System
Dedicated Monitoring Algos
Capped Leverage
Capped Deployed Capital
Validation
Individually validated by livetest fills
Data Source
1m Granularity