Robustness Analysis

ETF Blend 103-20 Analysis

The 9-iteration rolling test is pristine. Most notably, Iteration 6 (2021-2022) covers the inflation shock and tech crash. While the market cratered, this strategy delivered positive returns. This non-correlation during crises validates the logic of this strategy.

Test Configuration

• Training period: 504 days
• Test period: 252 days
• Step size: 252 days
• Number of iterations: 9
• Number of Simulations per Iteration: 10,000
• Overlap: No

NOTE: This strategy is intentionally designed to capture outlier returns during specific market conditions. Following the periods of exceptional performance, Monte Carlo forecasts may appear overly optimistic in subsequent iterations, consequently making the strategy appear to underperform during those iterations. This is expected behavior as the simulations incorporate recent extreme returns into their probability distributions.

---

Iteration 1 of 9

• Training period: 2014-11-07 to 2016-11-07 (504 days)
• Test period: 2016-11-08 to 2017-11-07 (252 days)

Return Characteristics

• Probability of positive return: 53.77%
• Positive returns: Mean: 0.4586%, Std: 0.4042%
• Negative returns: Mean: -0.4186%, Std: 0.4133%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	27	38	2.36%	2017-06-05	2017-07-13
2	20	28	1.41%	2017-09-12	2017-10-10

Results

• Overall Max Drawdown: 2.36%
• Number of drawdown periods found: 37
• Largest period drawdown: 2.36% (Trading Days: 27, Calendar Days: 38, 2017-06-05 to 2017-07-13)
• Actual Return: 27.24%, Forecast: 13.77%
• Percentile: 88.3%
• Actual CAGR: 27.24%, Forecast CAGR: 13.77%

---

Iteration 2 of 9

• Training period: 2015-11-09 to 2017-11-07 (504 days)
• Test period: 2017-11-08 to 2018-11-07 (252 days)

Return Characteristics

• Probability of positive return: 59.13%
• Positive returns: Mean: 0.3775%, Std: 0.3261%
• Negative returns: Mean: -0.3280%, Std: 0.3391%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	58	84	6.57%	2018-03-12	2018-06-04
2	18	27	5.98%	2018-01-26	2018-02-22
3	40	55	4.89%	2018-09-13	2018-11-07
4	16	25	1.98%	2018-06-14	2018-07-09
5	18	27	1.06%	2017-11-17	2017-12-14

Results

• Overall Max Drawdown: 6.57%
• Number of drawdown periods found: 19
• Largest period drawdown: 6.57% (Trading Days: 58, Calendar Days: 84, 2018-03-12 to 2018-06-04)
• Actual Return: 10.81%, Forecast: 24.75%
• Percentile: 6.1%
• Actual CAGR: 10.81%, Forecast CAGR: 24.75%

---

Iteration 3 of 9

• Training period: 2016-11-08 to 2018-11-07 (504 days)
• Test period: 2018-11-08 to 2019-11-08 (252 days)

Return Characteristics

• Probability of positive return: 59.33%
• Positive returns: Mean: 0.3721%, Std: 0.3597%
• Negative returns: Mean: -0.3714%, Std: 0.4586%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	65	98	9.15%	2018-11-08	2019-02-14
2	27	40	4.43%	2019-05-03	2019-06-12
3	26	39	3.70%	2019-07-26	2019-09-03
4	30	42	2.68%	2019-09-12	2019-10-24

Results

• Overall Max Drawdown: 9.15%
• Number of drawdown periods found: 26
• Largest period drawdown: 9.15% (Trading Days: 65, Calendar Days: 98, 2018-11-08 to 2019-02-14)
• Actual Return: 14.12%, Forecast: 18.80%
• Percentile: 31.8%
• Actual CAGR: 14.12%, Forecast CAGR: 18.80%

---

Iteration 4 of 9

• Training period: 2017-11-08 to 2019-11-08 (504 days)
• Test period: 2019-11-11 to 2020-11-09 (252 days)

Return Characteristics

• Probability of positive return: 57.14%
• Positive returns: Mean: 0.4321%, Std: 0.4328%
• Negative returns: Mean: -0.4626%, Std: 0.4998%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	21	31	8.05%	2020-02-21	2020-03-23
2	27	38	7.64%	2020-09-01	2020-10-09
3	17	23	6.37%	2020-10-12	2020-11-04

Results

• Overall Max Drawdown: 8.05%
• Number of drawdown periods found: 35
• Largest period drawdown: 8.05% (Trading Days: 21, Calendar Days: 31, 2020-02-21 to 2020-03-23)
• Actual Return: 49.39%, Forecast: 12.40%
• Percentile: 99.6%
• Actual CAGR: 49.39%, Forecast CAGR: 12.40%

---

Iteration 5 of 9

• Training period: 2018-11-08 to 2020-11-09 (504 days)
• Test period: 2020-11-10 to 2021-11-09 (252 days)

Return Characteristics

• Probability of positive return: 58.93%
• Positive returns: Mean: 0.5676%, Std: 0.6334%
• Negative returns: Mean: -0.5481%, Std: 0.6039%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	19	28	5.03%	2021-02-12	2021-03-12
2	31	44	3.38%	2021-04-20	2021-06-03
3	28	41	2.92%	2021-09-03	2021-10-14

Results

• Overall Max Drawdown: 5.03%
• Number of drawdown periods found: 33
• Largest period drawdown: 5.03% (Trading Days: 19, Calendar Days: 28, 2021-02-12 to 2021-03-12)
• Actual Return: 37.66%, Forecast: 30.53%
• Percentile: 66.2%
• Actual CAGR: 37.66%, Forecast CAGR: 30.53%

---

Iteration 6 of 9

• Training period: 2019-11-11 to 2021-11-09 (504 days)
• Test period: 2021-11-10 to 2022-11-09 (252 days)

Return Characteristics

• Probability of positive return: 61.51%
• Positive returns: Mean: 0.6114%, Std: 0.6271%
• Negative returns: Mean: -0.5954%, Std: 0.6489%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	61	85	8.45%	2022-08-16	2022-11-09
2	41	59	6.21%	2022-01-04	2022-03-04
3	26	40	5.39%	2022-06-16	2022-07-26
4	53	77	4.94%	2022-03-29	2022-06-14

Results

• Overall Max Drawdown: 8.45%
• Number of drawdown periods found: 15
• Largest period drawdown: 8.45% (Trading Days: 61, Calendar Days: 85, 2022-08-16 to 2022-11-09)
• Actual Return: 7.29%, Forecast: 42.81%
• Percentile: 1.9%
• Actual CAGR: 7.29%, Forecast CAGR: 42.81%

---

Iteration 7 of 9

• Training period: 2020-11-10 to 2022-11-09 (504 days)
• Test period: 2022-11-10 to 2023-11-10 (252 days)

Return Characteristics

• Probability of positive return: 55.36%
• Positive returns: Mean: 0.5784%, Std: 0.5247%
• Negative returns: Mean: -0.5372%, Std: 0.5344%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	47	69	6.50%	2023-02-02	2023-04-12
2	42	57	5.64%	2023-09-14	2023-11-10
3	23	35	3.66%	2022-12-01	2023-01-05
4	16	22	3.19%	2023-08-07	2023-08-29
5	18	26	2.35%	2023-04-13	2023-05-09

Results

• Overall Max Drawdown: 6.50%
• Number of drawdown periods found: 21
• Largest period drawdown: 6.50% (Trading Days: 47, Calendar Days: 69, 2023-02-02 to 2023-04-12)
• Actual Return: 23.58%, Forecast: 21.42%
• Percentile: 55.5%
• Actual CAGR: 23.58%, Forecast CAGR: 21.42%

---

Iteration 8 of 9

• Training period: 2021-11-10 to 2023-11-10 (504 days)
• Test period: 2023-11-13 to 2024-11-12 (252 days)

Return Characteristics

• Probability of positive return: 52.58%
• Positive returns: Mean: 0.6037%, Std: 0.5413%
• Negative returns: Mean: -0.5450%, Std: 0.4896%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	16	22	2.11%	2024-04-11	2024-05-03

Results

• Overall Max Drawdown: 4.02%
• Number of drawdown periods found: 42
• Largest period drawdown: 4.02% (Trading Days: 10, Calendar Days: 14, 2024-07-31 to 2024-08-14)
• Actual Return: 32.65%, Forecast: 15.09%
• Percentile: 87.8%
• Actual CAGR: 32.65%, Forecast CAGR: 15.09%

---

Iteration 9 of 9

• Training period: 2022-11-10 to 2024-11-12 (504 days)
• Test period: 2024-11-13 to 2025-11-14 (252 days)

Return Characteristics

• Probability of positive return: 56.94%
• Positive returns: Mean: 0.4984%, Std: 0.4185%
• Negative returns: Mean: -0.4268%, Std: 0.4266%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	36	50	8.85%	2025-02-19	2025-04-10
2	20	31	2.56%	2024-12-17	2025-01-17

Results

• Overall Max Drawdown: 8.85%
• Number of drawdown periods found: 35
• Largest period drawdown: 8.85% (Trading Days: 36, Calendar Days: 50, 2025-02-19 to 2025-04-10)
• Actual Return: 27.77%, Forecast: 27.95%
• Percentile: 49.5%
• Actual CAGR: 27.77%, Forecast CAGR: 27.95%

---

Rolling Walk-Forward Test Summary

Metric	Value
Average Actual Return	25.61%
Average Forecast Return	23.06%
Average Error	2.55%
Average Percentile	54.1%
Average Max Drawdown	6.55%
Average Actual CAGR	25.61%
Average Forecast CAGR	23.06%