Robustness Analysis

ETF Blend 200-35 Analysis

The Walk-Forward Analysis confirms that the edge is robust across regimes, not just an artifact of overfitting. Across 8 distinct walk-forward windows, the strategy never produced a negative return period.

The high positive Skew and Kurtosis confirm that the strategy utilizes “crisis alpha.” While the general market crashes (left-tail risk), this strategy captures right-tail outliers (extreme positive gains).

Test Configuration

• Training period: 504 days
• Test period: 252 days
• Step size: 252 days
• Number of iterations: 8
• 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.

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Iteration 1 of 8

• Training period: 2015-06-25 to 2017-06-23 (504 days)
• Test period: 2017-06-26 to 2018-06-25 (252 days)

Return Characteristics

• Probability of positive return: 55.75%
• Positive returns: Mean: 0.4724%, Std: 0.6497%
• Negative returns: Mean: -0.3673%, Std: 0.3854%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	56	80	6.29%	2018-03-12	2018-05-31
2	32	44	2.11%	2017-09-12	2017-10-26
3	20	32	2.01%	2017-12-01	2018-01-02

Results

• Overall Max Drawdown: 6.29%
• Number of drawdown periods found: 29
• Largest period drawdown: 6.29% (Trading Days: 56, Calendar Days: 80, 2018-03-12 to 2018-05-31)
• Actual Return: 29.74%, Forecast: 27.85%
• Percentile: 55.2%
• Actual CAGR: 29.74%, Forecast CAGR: 27.85%

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Iteration 2 of 8

• Training period: 2016-06-24 to 2018-06-25 (504 days)
• Test period: 2018-06-26 to 2019-06-26 (252 days)

Return Characteristics

• Probability of positive return: 56.35%
• Positive returns: Mean: 0.4735%, Std: 0.6648%
• Negative returns: Mean: -0.3671%, Std: 0.4229%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	38	58	8.63%	2018-12-03	2019-01-30
2	24	35	4.67%	2019-05-03	2019-06-07
3	30	45	3.40%	2018-08-31	2018-10-15
4	22	31	2.81%	2018-10-30	2018-11-30

Results

• Overall Max Drawdown: 8.63%
• Number of drawdown periods found: 27
• Largest period drawdown: 8.63% (Trading Days: 38, Calendar Days: 58, 2018-12-03 to 2019-01-30)
• Actual Return: 29.14%, Forecast: 29.63%
• Percentile: 48.7%
• Actual CAGR: 29.14%, Forecast CAGR: 29.63%

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Iteration 3 of 8

• Training period: 2017-06-26 to 2019-06-26 (504 days)
• Test period: 2019-06-27 to 2020-06-25 (252 days)

Return Characteristics

• Probability of positive return: 55.95%
• Positive returns: Mean: 0.5090%, Std: 0.6336%
• Negative returns: Mean: -0.4082%, Std: 0.4232%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	26	39	2.89%	2019-07-26	2019-09-03
2	22	32	2.20%	2019-09-12	2019-10-14

Results

• Overall Max Drawdown: 3.68%
• Number of drawdown periods found: 37
• Largest period drawdown: 3.68% (Trading Days: 7, Calendar Days: 9, 2020-02-19 to 2020-02-28)
• Actual Return: 118.85%, Forecast: 29.37%
• Percentile: 100.0%
• Actual CAGR: 118.85%, Forecast CAGR: 29.37%

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Iteration 4 of 8

• Training period: 2018-06-26 to 2020-06-25 (504 days)
• Test period: 2020-06-26 to 2021-06-25 (252 days)

Return Characteristics

• Probability of positive return: 59.92%
• Positive returns: Mean: 0.6373%, Std: 1.1265%
• Negative returns: Mean: -0.4246%, Std: 0.4327%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	38	53	7.44%	2020-10-12	2020-12-04
2	25	36	7.33%	2020-09-03	2020-10-09

Results

• Overall Max Drawdown: 7.44%
• Number of drawdown periods found: 30
• Largest period drawdown: 7.44% (Trading Days: 38, Calendar Days: 53, 2020-10-12 to 2020-12-04)
• Actual Return: 56.25%, Forecast: 66.96%
• Percentile: 34.1%
• Actual CAGR: 56.25%, Forecast CAGR: 66.96%

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Iteration 5 of 8

• Training period: 2019-06-27 to 2021-06-25 (504 days)
• Test period: 2021-06-28 to 2022-06-27 (252 days)

Return Characteristics

• Probability of positive return: 62.10%
• Positive returns: Mean: 0.7521%, Std: 1.0855%
• Negative returns: Mean: -0.5717%, Std: 0.5952%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	61	87	7.70%	2021-12-27	2022-03-24
2	21	32	3.80%	2021-11-19	2021-12-21
3	20	29	3.38%	2022-03-29	2022-04-27
4	27	40	2.64%	2021-09-03	2021-10-13

Results

• Overall Max Drawdown: 7.70%
• Number of drawdown periods found: 23
• Largest period drawdown: 7.70% (Trading Days: 61, Calendar Days: 87, 2021-12-27 to 2022-03-24)
• Actual Return: 30.30%, Forecast: 83.30%
• Percentile: 2.0%
• Actual CAGR: 30.30%, Forecast CAGR: 83.30%

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Iteration 6 of 8

• Training period: 2020-06-26 to 2022-06-27 (504 days)
• Test period: 2022-06-28 to 2023-06-28 (252 days)

Return Characteristics

• Probability of positive return: 57.94%
• Positive returns: Mean: 0.6610%, Std: 0.5734%
• Negative returns: Mean: -0.5666%, Std: 0.5681%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	41	58	3.93%	2022-08-16	2022-10-13
2	38	55	3.78%	2023-02-02	2023-03-29
3	29	43	3.69%	2022-11-30	2023-01-12

Results

• Overall Max Drawdown: 4.48%
• Number of drawdown periods found: 28
• Largest period drawdown: 4.48% (Trading Days: 9, Calendar Days: 13, 2023-06-15 to 2023-06-28)
• Actual Return: 21.22%, Forecast: 42.78%
• Percentile: 10.7%
• Actual CAGR: 21.22%, Forecast CAGR: 42.78%

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Iteration 7 of 8

• Training period: 2021-06-28 to 2023-06-28 (504 days)
• Test period: 2023-06-29 to 2024-06-28 (252 days)

Return Characteristics

• Probability of positive return: 53.57%
• Positive returns: Mean: 0.5502%, Std: 0.5083%
• Negative returns: Mean: -0.4345%, Std: 0.4093%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	18	26	2.92%	2023-09-14	2023-10-10
2	23	33	2.84%	2024-04-05	2024-05-08

Results

• Overall Max Drawdown: 2.92%
• Number of drawdown periods found: 38
• Largest period drawdown: 2.92% (Trading Days: 18, Calendar Days: 26, 2023-09-14 to 2023-10-10)
• Actual Return: 43.10%, Forecast: 25.70%
• Percentile: 88.4%
• Actual CAGR: 43.10%, Forecast CAGR: 25.70%

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Iteration 8 of 8

• Training period: 2022-06-28 to 2024-06-28 (504 days)
• Test period: 2024-07-01 to 2025-07-02 (252 days)

Return Characteristics

• Probability of positive return: 54.56%
• Positive returns: Mean: 0.4966%, Std: 0.4970%
• Negative returns: Mean: -0.3516%, Std: 0.3405%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	34	48	6.57%	2025-02-19	2025-04-08
2	14	22	1.89%	2024-12-26	2025-01-17

Results

• Overall Max Drawdown: 6.57%
• Number of drawdown periods found: 40
• Largest period drawdown: 6.57% (Trading Days: 34, Calendar Days: 48, 2025-02-19 to 2025-04-08)
• Actual Return: 69.31%, Forecast: 31.75%
• Percentile: 99.5%
• Actual CAGR: 69.31%, Forecast CAGR: 31.75%

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Rolling Walk-Forward Test Summary

Metric	Value
Average Actual Return	49.74%
Average Forecast Return	42.17%
Average Error	7.57%
Average Percentile	54.8%
Average Max Drawdown	5.97%
Average Actual CAGR	49.74%
Average Forecast CAGR	42.17%