The drawdown compression is what makes this approach tradeable long-term. Most backtests ignore the psycological reality that an 80% drawdown ends careers even if the math eventually works. Matching TQQQ returns while keeping drawdowns near SPY levels changes the game entirely. The monthly heatmap really drives home how different the lived experince is vs just looking at CAGR.
Exactly. Drawdown is where most “good on paper” strategies fail in the real world.
I think a lot of backtests implicitly assume infinite patience and perfect behavior, which just isn’t how people experience risk. The goal here was never to maximize CAGR in isolation, but to design something that could actually be held through time — including the inevitable stretches where nothing seems to work.
The drawdown compression is what makes this approach tradeable long-term. Most backtests ignore the psycological reality that an 80% drawdown ends careers even if the math eventually works. Matching TQQQ returns while keeping drawdowns near SPY levels changes the game entirely. The monthly heatmap really drives home how different the lived experince is vs just looking at CAGR.
Exactly. Drawdown is where most “good on paper” strategies fail in the real world.
I think a lot of backtests implicitly assume infinite patience and perfect behavior, which just isn’t how people experience risk. The goal here was never to maximize CAGR in isolation, but to design something that could actually be held through time — including the inevitable stretches where nothing seems to work.