Robustness Analysis

ETF Blend 301-20 Analysis

The 11-step rolling walk-forward test confirms that the performance of this strategy is not a product of curve-fitting.

The strategy remained profitable during the 2015 chop (Iteration 2), the 2018 volatility implosion (Iteration 5), the COVID crash (Iteration 6), and the 2022 inflation bear market (Iteration 9). The weakest walk-forward iteration (Iteration 2) still produced a positive return with a reasonable drawdown.

Test Configuration

• Training period: 504 days
• Test period: 252 days
• Step size: 252 days
• Number of iterations: 11
• 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 11

• Training period: 2012-04-23 to 2014-04-24 (504 days)
• Test period: 2014-04-25 to 2015-04-24 (252 days)

Return Characteristics

• Probability of positive return: 56.94%
• Positive returns: Mean: 0.8663%, Std: 0.8528%
• Negative returns: Mean: -0.7510%, Std: 0.6894%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	19	27	8.15%	2014-10-08	2014-11-04
2	14	22	7.22%	2014-12-29	2015-01-20
3	14	21	5.66%	2014-06-30	2014-07-21

Results

• Overall Max Drawdown: 8.15%
• Number of drawdown periods found: 37
• Largest period drawdown: 8.15% (Trading Days: 19, Calendar Days: 27, 2014-10-08 to 2014-11-04)
• Actual Return: 65.89%, Forecast: 50.72%
• Percentile: 70.5%
• Actual CAGR: 65.89%, Forecast CAGR: 50.72%

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Iteration 2 of 11

• Training period: 2013-04-25 to 2015-04-24 (504 days)
• Test period: 2015-04-27 to 2016-04-25 (252 days)

Return Characteristics

• Probability of positive return: 61.51%
• Positive returns: Mean: 0.8330%, Std: 0.7579%
• Negative returns: Mean: -0.8590%, Std: 0.8536%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	69	98	15.66%	2015-07-20	2015-10-26
2	78	114	11.69%	2015-12-01	2016-03-24

Results

• Overall Max Drawdown: 15.66%
• Number of drawdown periods found: 18
• Largest period drawdown: 15.66% (Trading Days: 69, Calendar Days: 98, 2015-07-20 to 2015-10-26)
• Actual Return: 26.42%, Forecast: 55.57%
• Percentile: 13.4%
• Actual CAGR: 26.42%, Forecast CAGR: 55.57%

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Iteration 3 of 11

• Training period: 2014-04-25 to 2016-04-25 (504 days)
• Test period: 2016-04-26 to 2017-04-25 (252 days)

Return Characteristics

• Probability of positive return: 58.73%
• Positive returns: Mean: 0.9812%, Std: 1.1738%
• Negative returns: Mean: -1.0120%, Std: 1.1612%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	48	72	7.49%	2016-11-14	2017-01-25
2	33	47	7.05%	2017-03-09	2017-04-25
3	35	50	3.23%	2016-08-23	2016-10-12
4	28	41	1.82%	2016-05-10	2016-06-20

Results

• Overall Max Drawdown: 7.49%
• Number of drawdown periods found: 23
• Largest period drawdown: 7.49% (Trading Days: 48, Calendar Days: 72, 2016-11-14 to 2017-01-25)
• Actual Return: 63.79%, Forecast: 43.94%
• Percentile: 70.4%
• Actual CAGR: 63.79%, Forecast CAGR: 43.94%

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Iteration 4 of 11

• Training period: 2015-04-27 to 2017-04-25 (504 days)
• Test period: 2017-04-26 to 2018-04-25 (252 days)

Return Characteristics

• Probability of positive return: 55.56%
• Positive returns: Mean: 0.9335%, Std: 1.3243%
• Negative returns: Mean: -0.8173%, Std: 1.0328%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	39	58	8.77%	2017-12-06	2018-02-02
2	18	26	7.53%	2017-04-28	2017-05-24
3	34	48	5.69%	2017-09-28	2017-11-15
4	48	67	5.13%	2017-06-26	2017-09-01

Results

• Overall Max Drawdown: 8.77%
• Number of drawdown periods found: 21
• Largest period drawdown: 8.77% (Trading Days: 39, Calendar Days: 58, 2017-12-06 to 2018-02-02)
• Actual Return: 52.05%, Forecast: 43.68%
• Percentile: 59.4%
• Actual CAGR: 52.05%, Forecast CAGR: 43.68%

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Iteration 5 of 11

• Training period: 2016-04-26 to 2018-04-25 (504 days)
• Test period: 2018-04-26 to 2019-04-26 (252 days)

Return Characteristics

• Probability of positive return: 54.56%
• Positive returns: Mean: 0.9673%, Std: 1.2286%
• Negative returns: Mean: -0.7432%, Std: 0.7529%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	49	76	14.70%	2018-11-14	2019-01-29
2	23	34	4.34%	2018-08-31	2018-10-04
3	15	22	2.56%	2018-05-09	2018-05-31

Results

• Overall Max Drawdown: 14.70%
• Number of drawdown periods found: 33
• Largest period drawdown: 14.70% (Trading Days: 49, Calendar Days: 76, 2018-11-14 to 2019-01-29)
• Actual Return: 72.08%, Forecast: 56.54%
• Percentile: 67.2%
• Actual CAGR: 72.08%, Forecast CAGR: 56.54%

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Iteration 6 of 11

• Training period: 2017-04-26 to 2019-04-26 (504 days)
• Test period: 2019-04-29 to 2020-04-27 (252 days)

Return Characteristics

• Probability of positive return: 55.16%
• Positive returns: Mean: 1.0594%, Std: 1.1747%
• Negative returns: Mean: -0.8552%, Std: 0.8417%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	15	21	15.85%	2020-02-19	2020-03-11
2	37	52	8.58%	2019-05-07	2019-06-28
3	16	23	3.80%	2019-12-04	2019-12-27
4	16	22	3.57%	2019-09-05	2019-09-27

Results

• Overall Max Drawdown: 15.85%
• Number of drawdown periods found: 29
• Largest period drawdown: 15.85% (Trading Days: 15, Calendar Days: 21, 2020-02-19 to 2020-03-11)
• Actual Return: 134.18%, Forecast: 61.30%
• Percentile: 95.2%
• Actual CAGR: 134.18%, Forecast CAGR: 61.30%

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Iteration 7 of 11

• Training period: 2018-04-26 to 2020-04-27 (504 days)
• Test period: 2020-04-28 to 2021-04-27 (252 days)

Return Characteristics

• Probability of positive return: 57.54%
• Positive returns: Mean: 1.2919%, Std: 1.7270%
• Negative returns: Mean: -1.0546%, Std: 1.3199%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	98	145	10.88%	2020-10-02	2021-02-24

Results

• Overall Max Drawdown: 10.88%
• Number of drawdown periods found: 27
• Largest period drawdown: 10.88% (Trading Days: 98, Calendar Days: 145, 2020-10-02 to 2021-02-24)
• Actual Return: 227.88%, Forecast: 99.47%
• Percentile: 94.4%
• Actual CAGR: 227.88%, Forecast CAGR: 99.47%

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Iteration 8 of 11

• Training period: 2019-04-29 to 2021-04-27 (504 days)
• Test period: 2021-04-28 to 2022-04-26 (252 days)

Return Characteristics

• Probability of positive return: 57.14%
• Positive returns: Mean: 1.6807%, Std: 2.2391%
• Negative returns: Mean: -1.2304%, Std: 1.3896%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	31	44	5.56%	2022-01-05	2022-02-18
2	19	27	4.13%	2021-09-08	2021-10-05
3	19	25	3.37%	2022-03-14	2022-04-08

Results

• Overall Max Drawdown: 6.78%
• Number of drawdown periods found: 34
• Largest period drawdown: 6.78% (Trading Days: 8, Calendar Days: 12, 2021-05-07 to 2021-05-19)
• Actual Return: 130.20%, Forecast: 176.06%
• Percentile: 30.9%
• Actual CAGR: 130.20%, Forecast CAGR: 176.06%

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Iteration 9 of 11

• Training period: 2020-04-28 to 2022-04-26 (504 days)
• Test period: 2022-04-27 to 2023-04-27 (252 days)

Return Characteristics

• Probability of positive return: 58.73%
• Positive returns: Mean: 1.4762%, Std: 1.7910%
• Negative returns: Mean: -1.0815%, Std: 1.0287%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	64	96	10.83%	2022-10-26	2023-01-30
2	19	28	5.00%	2022-06-30	2022-07-28

Results

• Overall Max Drawdown: 10.83%
• Number of drawdown periods found: 31
• Largest period drawdown: 10.83% (Trading Days: 64, Calendar Days: 96, 2022-10-26 to 2023-01-30)
• Actual Return: 217.17%, Forecast: 173.29%
• Percentile: 69.1%
• Actual CAGR: 217.17%, Forecast CAGR: 173.29%

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Iteration 10 of 11

• Training period: 2021-04-28 to 2023-04-27 (504 days)
• Test period: 2023-04-28 to 2024-04-29 (252 days)

Return Characteristics

• Probability of positive return: 60.52%
• Positive returns: Mean: 1.2973%, Std: 1.1848%
• Negative returns: Mean: -0.9571%, Std: 0.9239%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	22	33	5.11%	2024-02-02	2024-03-06
2	25	35	4.94%	2023-07-06	2023-08-10
3	16	23	3.04%	2024-03-19	2024-04-11
4	17	24	2.64%	2023-11-20	2023-12-14

Results

• Overall Max Drawdown: 5.11%
• Number of drawdown periods found: 33
• Largest period drawdown: 5.11% (Trading Days: 22, Calendar Days: 33, 2024-02-02 to 2024-03-06)
• Actual Return: 106.19%, Forecast: 169.32%
• Percentile: 13.1%
• Actual CAGR: 106.19%, Forecast CAGR: 169.32%

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Iteration 11 of 11

• Training period: 2022-04-27 to 2024-04-29 (504 days)
• Test period: 2024-04-30 to 2025-05-01 (252 days)

Return Characteristics

• Probability of positive return: 59.72%
• Positive returns: Mean: 1.1983%, Std: 1.1229%
• Negative returns: Mean: -0.8256%, Std: 0.7860%

Top Significant Drawdown Periods (>20 calendar days)

Rank	Trading Days	Calendar Days	Max Drawdown	Start Date	End Date
1	32	44	21.06%	2025-03-18	2025-05-01
2	41	59	4.92%	2025-01-13	2025-03-13

Results

• Overall Max Drawdown: 21.06%
• Number of drawdown periods found: 36
• Largest period drawdown: 21.06% (Trading Days: 32, Calendar Days: 44, 2025-03-18 to 2025-05-01)
• Actual Return: 95.72%, Forecast: 155.45%
• Percentile: 11.4%
• Actual CAGR: 95.72%, Forecast CAGR: 155.45%

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Rolling Walk-Forward Test Summary

Metric	Value
Average Actual Return	108.32%
Average Forecast Return	98.67%
Average Error	9.66%
Average Percentile	54.1%
Average Max Drawdown	11.39%
Average Actual CAGR	108.32%
Average Forecast CAGR	98.67%