This post reports on a backtest of the systematic strategy “World 1D” over US and European equity universes (7,666 symbols), on a daily timeframe, across roughly 10 years of historical data. Over that backtest window the strategy produced a CAGR of 40% alongside a maximum drawdown of 29%, a Sortino ratio of 1.79 and a Sharpe of 1.15 over 374 trades — these figures are backtested, not live, and risk-adjusted measures must be read together with the drawdown. The strategy parameter set and full backtest output are published in real-time to our free community channels. For informational and educational purposes only — not financial advice.
The results are presented in this first post and the building of this strategy will be presented in the next posts.
StrategyEvaluate Input Parameters
| Parameter | Value |
|---|---|
| strategy_buy | “bband1a&psar0a” |
| strategy_sell | “ichimoku4a+psar0a” |
| negative_cash | False |
| date_start_simulation | 2015-02-02 00:00:00+00:00 |
| date_start | 2014-01-20 00:00:00+00:00 |
| date_end | 2025-10-03 00:00:00+00:00 |
| base_currency | CHF |
| initial_cash | 100000.0 |
| position_target_w | 0.1 |
| position_target_hard_limit | 10000000.0 |
| bar_size | 1 day |
| nbar_back_for_stop | 0 |
| trailing_stop | 24.0 |
| stop_limit | False |
| nbar_freeze | 2 |
| enable_freeze_global | False |
| position_max_w | 0.25 |
| max_new_position_per_bar | 3 |
| max_workers_outer | 8 |
| max_workers_inner | 8 |
| nb_symbol | 7666 |
Wallet final : value=4144809 cagr=40.52% maxdd=29.02% ulcer=2.53% exposure=19.81% return=4044.81% nbtransaction=374 winrate=49.20% sharpe=1.15 sortino=1.79 calmar=1.40 stability=0.866 k=133.24 composite=43.758480 rr=5.31 nbrow=0 cash=4144809 return_mean=24.62 return_max=1620.66 return_min=-42.05 return_quantiles=-31.18 -22.91 -13.10 -1.14 22.16 127.73 392.69
Results Summary
| Metric | Value |
|---|---|
| equity_final | 4144808.9766 |
| cagr | 40.5202 |
| return | 4044.8090 |
| max_drawdown | 29.0195 |
| ulcer_index | 2.5278 |
| net_exposure | 19.8098 |
| sharpe_ratio | 1.1514 |
| sortino_ratio | 1.7926 |
| calmar_ratio | 1.3963 |
| benchmark_cagr | 9.2310 |
| stability | 0.8656 |
| k_ratio | 133.2441 |
| composite_objective | 43.7585 |
| nb_trades | 0 |
| win_rate | 49.1979 |
| risk_reward_ratio | 5.3060 |
| return_mean | 24.6217 |
| return_min | -42.0537 |
| return_q0.01 | -31.1833 |
| return_q0.05 | -22.9130 |
| return_q0.2 | -13.0986 |
| return_q0.5 | -1.1368 |
| return_q0.8 | 22.1602 |
| return_q0.95 | 127.7293 |
| return_q0.99 | 392.6856 |
| return_max | 1620.6617 |
| trades | 374 |
Out-of-sample cutoff. This strategy’s rules and parameters were frozen on 3 July 2025. All performance shown after that date is genuine out-of-sample / forward-tracked data — it post-dates the freeze, so no hindsight or selection could have shaped the rules.
Further reading: we later built a market-regime filter on top of this strategy family and published the null-result study — gating these backtests by an SPX percent-rank regime did not improve them.
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