Backtest 265 evaluates a long-only, daily-bar systematic strategy on a universe of 956 world major-index constituents from 20 January 2016 to 3 October 2025 (≈ 9 years 8 months). Over that window the strategy compounds to a CAGR of 27.6% versus the S&P 500 total-return benchmark at 13.1%, with a max drawdown of -15.55% against the benchmark’s -33.43%.
This is a historical backtest, not a live track record and not a trading signal. Past performance is not indicative of future results. Content is published for informational and educational purposes only – see the closing notes and our community page for the full disclaimer.
Headline numbers
| Metric | Strategy | Benchmark (SPX TR) |
|---|---|---|
| Period | 2016-01-20 → 2025-10-03 | |
| CAGR | 27.64% | 13.12% |
| Cumulative return | +971% | +231% |
| Max drawdown | -15.55% | -33.43% |
| Longest DD (days) | 390 | 475 |
| Volatility (annualised) | 14.85% | 18.82% |
| Sharpe | 0.89 | 0.10 |
| Sortino | 1.39 | 0.13 |
| Calmar | 1.78 | 0.39 |
| Time in market | 91% | 97% |
| Trades | 654 | – |
| Win rate | 49.85% | – |
| Risk / reward | 2.20 | – |
| Skew | +0.48 | -0.37 |
| Kurtosis | 4.09 | 16.44 |
Universe & period
The universe is the major-indices zone – 956 constituents of large world indices, daily bars, denominated in EUR. The simulation warms up indicators from 2014-12-19 and starts compounding from 2016-01-20 with €100,000 of initial capital.
Strategy in plain English
- Long-only, no shorts, no leverage.
- Entry: composite of two Ichimoku-family triggers (internally
ichimoku4a+ichimoku6d). - Exit: a MACD-variant exit rule (
macdv3e) combined with a 22% trailing stop. - Sizing: volatility-targeted at the portfolio level, position cap 20%, sector cap 33%, max 10 new entries per bar.
- Cooldown: a freeze of 2 bars after each exit to avoid immediate re-entries.
- Regime awareness: a 252-bar percentile-based regime filter. Over the test window bars classify as 77% trend, 7% range, 16% bear (see our follow-up null-result study on whether this filter actually improves backtest outcomes) – the strategy is permitted in all three but sizes down outside trend.
Equity curve
Annual returns
| Year | SPX | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2016 | 23.33% | 11.97% | 0.51 | – |
| 2017 | 4.76% | 5.86% | 1.23 | + |
| 2018 | -1.80% | -4.15% | 2.30 | – |
| 2019 | 31.62% | 33.94% | 1.07 | + |
| 2020 | 6.76% | 37.58% | 5.56 | + |
| 2021 | 36.18% | 56.91% | 1.57 | + |
| 2022 | -14.32% | 32.35% | -2.26 | + |
| 2023 | 20.42% | 27.94% | 1.37 | + |
| 2024 | 31.43% | 49.64% | 1.58 | + |
| 2025 | 0.69% | 28.73% | 41.42 | + |
Drawdown analysis
The deepest drawdown sits at -15.55%, taken early in the period (Feb-Oct 2016). After 2018 no single drawdown exceeds -14%, and the largest 2020 COVID drawdown was -8.6% – versus -33% for SPX over the same window.
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2016-02-02 | 2016-10-17 | -15.55% | 259 |
| 2018-06-05 | 2019-02-05 | -13.73% | 246 |
| 2017-05-08 | 2018-06-01 | -10.58% | 390 |
| 2023-02-08 | 2023-05-24 | -9.99% | 106 |
| 2019-04-22 | 2019-07-24 | -9.86% | 94 |
| 2022-11-16 | 2023-02-01 | -9.42% | 78 |
| 2022-03-28 | 2022-05-16 | -8.86% | 50 |
| 2020-08-11 | 2020-11-06 | -8.64% | 88 |
| 2023-06-16 | 2023-12-13 | -8.19% | 181 |
| 2024-12-04 | 2025-02-05 | -8.15% | 64 |
Rolling metrics
Return distribution
Caveats & reading guide
- This is a backtest, not a live track record. Trades are simulated on historical daily bars; real-world execution would face additional slippage, partial fills, and venue-specific frictions.
- Survivorship. The universe is built from current and historical major-index constituents; while care is taken to include delisted names, residual survivorship bias cannot be ruled out.
- Risk-free rate. The QuantStats report uses an annual RF of 13.1% (inherited from a high-rate working assumption), which mechanically suppresses the printed Sharpe. An RF-flat internal calculation reports Sharpe 0.98 and Sortino 1.10 over the same window.
- Costs. Transaction costs are modelled at the bar level; the strategy turns over ~65 trades per year on average.
- Out-of-sample. Parameter selection used the early portion of the window; results from 2020 onward give a more honest read of out-of-sample behavior.
Discuss this backtest
We share backtest research, methodology notes and discussion on our free community channels – Telegram, Discord, X. Full details and the bilingual disclaimer on the community page.
KreamEdge publishes systematic strategy backtests and market analytics for informational and educational purposes only – not personalized investment advice. Past performance is not indicative of future results.
Frequently asked questions
What universe does Backtest 265 use?
956 constituents of large world indices on daily bars, denominated in EUR, from 20 January 2016 to 3 October 2025. Indicators warm up from 19 December 2014 and compounding starts from 100,000 EUR.
How did it compare with the benchmark?
A CAGR of 27.64% against 13.12% for the SPX total return index, with a maximum drawdown of 15.55% against the benchmark’s 33.43%. Annualized volatility was 14.85% against 18.82%.
Why is the reported Sharpe low relative to the return?
The report sets the risk free rate at 13.1%, which mechanically compresses Sharpe to 0.89. An internal computation with a flat risk free rate gives 0.98 over the same window. Sharpe is only comparable across reports when the risk free assumption is stated.
What are the entry and exit rules?
Long only, no shorts and no leverage. Entry is a composite of two Ichimoku family triggers. Exit combines a MACD variant rule with a 22% trailing stop. Sizing is volatility targeted at the portfolio level with a 20% position cap and a 33% sector cap, up to 10 new entries per bar, and a 2 bar freeze after each exit.
Does the strategy use a market regime filter?
Yes, a 252 bar percentile based regime filter. Over the test window bars classify as 77% trend, 7% range and 16% bear. The strategy is permitted in all three states but sizes down outside trend. A later KreamEdge study tested whether that filter actually improves outcomes and reported a null result.
Is this a live track record?
No. It is a historical backtest, not a live track record and not a trading signal. It is published for informational and educational purposes only, and past performance is not indicative of future results.
0 Comments