Backtest 308 evaluates a long-only, daily-bar systematic strategy on a universe of 1,006 world major-index constituents – now including KOSPI 50 (Korea) large caps – from 8 February 2016 to 30 April 2026 (≈ 10 years 3 months). Over that window the strategy compounds to a CAGR of 32.7% versus the S&P 500 total-return benchmark at 14.2%, with a max drawdown of -14.36% against the benchmark’s -33.92%. This run also re-bases the accounting currency from CHF to USD.
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 | 2016-02-08 → 2026-04-30 | |
| CAGR | 32.72% | 14.19% |
| Cumulative return | +1,712% | +289% |
| Max drawdown | -14.36% | -33.92% |
| Longest DD (days) | 371 | 745 |
| Volatility (annualised) | 19.40% | 17.94% |
| Sharpe | 0.89 | 0.10 |
| Sortino | 1.30 | 0.14 |
| Calmar | 2.28 | 0.42 |
| Time in market | 95% | 97% |
| Beta to SPX | 0.24 | – |
| Trades | 966 | – |
| Win rate | 49.48% | – |
| Risk / reward | 1.71 | – |
| Skew | -0.26 | -0.38 |
| Kurtosis | 7.28 | 16.64 |
What changed since backtest 265
This report follows our previous world-indices study, Backtest 265. Two things changed on the data side:
- Universe expanded with KOSPI 50. The major-indices zone now carries Korean large-cap constituents, taking the symbol count to 1,006. A broader cross-section gives the ranking logic more candidates per bar, but it also means this is not an apples-to-apples re-run of 265 – the opportunity set is different.
- Base currency switched CHF → USD. The portfolio is now denominated, financed and reported in USD. This is primarily an accounting / FX-translation change (cash, borrow accrual and the equity curve are all in USD); it is not a change to the entry or exit logic. Read the headline CAGR with that in mind – part of any difference versus 265 is FX and universe, not signal alpha.
The entry/exit rules in this run (MACD-variant entry, Ichimoku + Parabolic-SAR exit – see below) also differ from 265’s configuration, so treat 308 as its own backtest rather than a like-for-like delta on 265.
Universe & period
The universe is the major-indices zone – 1,006 constituents of large world indices (now including KOSPI 50), daily bars, denominated in USD. The simulation warms up indicators from 2014-12-19 and starts compounding from 2016-02-08 with $100,000 of initial capital, ending 2026-04-30.
Strategy in plain English
- Long-only, no shorts, no leverage (gross exposure averages ~50%).
- Entry: a MACD-variant trigger (internally
macdv1b). - Exit: a composite of Ichimoku and Parabolic-SAR rules (internally
ichimoku6a+psar0a), combined with a 28% 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 ~78% trend, ~8% range, ~15% 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 | 19.08% | 11.75% | 0.62 | – |
| 2017 | 19.42% | 13.44% | 0.69 | – |
| 2018 | -6.24% | 13.02% | -2.09 | + |
| 2019 | 28.88% | 29.80% | 1.03 | + |
| 2020 | 16.26% | 81.06% | 4.99 | + |
| 2021 | 26.89% | 46.70% | 1.74 | + |
| 2022 | -19.44% | 7.91% | -0.41 | + |
| 2023 | 24.23% | 18.99% | 0.78 | – |
| 2024 | 23.31% | 37.60% | 1.61 | + |
| 2025 | 16.39% | 79.72% | 4.86 | + |
| 2026* | 5.31% | 15.54% | 2.93 | + |
Drawdown analysis
The deepest drawdown sits at -14.36%, spanning the COVID window (Dec 2019 – Jun 2020). No single drawdown in the record exceeds -15%, and the strategy spends most of its time within a few percent of its high-water mark – versus -33.92% peak-to-trough for SPX over the same window. Note the third-worst drawdown (-13.64%, starting 2026-02-13) was still open at the end of the sample on 30 April 2026; its “recovered” date is simply the last bar, not a true recovery.
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-12-06 | 2020-06-03 | -14.36% | 181 |
| 2021-02-17 | 2021-07-29 | -13.66% | 163 |
| 2026-02-13 | (open) | -13.64% | 77 |
| 2024-07-17 | 2024-09-18 | -13.13% | 64 |
| 2020-08-07 | 2020-08-28 | -11.74% | 22 |
| 2020-11-17 | 2020-12-02 | -11.49% | 16 |
| 2020-09-03 | 2020-11-06 | -10.79% | 65 |
| 2017-11-22 | 2018-01-11 | -10.76% | 51 |
| 2024-09-30 | 2025-03-14 | -9.89% | 166 |
| 2021-01-26 | 2021-02-11 | -9.77% | 17 |
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.
- Universe changed mid-lineage. Adding KOSPI 50 means the cross-section differs from earlier world-indices runs; do not read the CAGR as a clean improvement over 265.
- Base-currency / FX. Results are in USD. The CHF → USD switch moves cash, borrow accrual and the reported equity curve into USD and therefore embeds USD/foreign FX moves into the headline numbers.
- 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 a high annual RF (13.9%, inherited from a working assumption), which mechanically suppresses the printed Sharpe. An RF-flat internal calculation reports Sharpe 0.96, Sortino 1.08 and Calmar 2.26 over the same window.
- Costs. Transaction costs, a value-traded borrow-fee model (0.8%) and a 1.5% margin spread are modelled at the bar level; the strategy turns over ~95 trades per year on average (966 total).
- 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. The open -13.6% drawdown into April 2026 is a reminder that recent bars are not yet resolved. Hard cutoff: the strategy’s rules and parameters were frozen on 3 July 2025, so all performance after that date is genuine out-of-sample / forward-tracked data – unseen at selection time, with no hindsight possible.
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 is new in Backtest 308 compared with Backtest 265?
Two things on the data side. The major indices universe expands to 1,006 constituents with the addition of KOSPI 50 Korean large caps, and the accounting currency is rebased from CHF to USD.
What were the headline numbers?
A CAGR of 32.72% against 14.19% for the SPX total return benchmark, with a maximum drawdown of 14.36% against the benchmark’s 33.92%, over 8 February 2016 to 30 April 2026.
How correlated is the book with the index?
Beta to SPX is 0.24 over the window, with annualized volatility of 19.40% against the benchmark’s 17.94%. The book is in the market 95% of the time.
Why is the reported Sharpe 0.89?
The report sets the risk free rate at 13.9%, which compresses the figure. An internal computation with a flat risk free rate gives Sharpe 0.96, Sortino 1.08 and Calmar 2.26 over the same window. Compare Sharpe across reports only when the risk free assumption is stated.
Is the rebase from CHF to USD material?
It changes the accounting currency in which returns are measured, so figures are not directly comparable with the CHF denominated runs. That is one of the two changes this report isolates against Backtest 265.
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.
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