Big Cap — Conservative BIG CAP
Large-cap stocks, conservative risk management. Lowest volatility of the four strategies.
Backtest Jan 2002 – Jun 2024
→OOS Paper Jun 2024 – Mar 2025
→Real Money Mar 2025 → present
OOS Paper TradingJun 2024 – Feb 2025 · 8 months
+12.8%
Return
19.8%
Annualized
-5.3%
Max DD
SPY: -8.4%
Parameters frozen. Next-day avg prices, commissions & slippage included.
Real MoneyMar 2025 – Present · 15 months
+62.8%
Return
SPY: +32.1%
47.7%
Annualized
SPY: 24.9%
-7.0%
Max DD
SPY: -14.7%
3.53
Sharpe
SPY: 1.35
Real capital, real broker, real execution.
+15.5%
ANN. RETURN
S&P 500: +10%
-12.1%
MAX DRAWDOWN
S&P 500: −55%
1.62
SHARPE RATIO
3.53
LIVE SHARPE
S&P 500: 1.35
24 yrs
TRACK RECORD
62.8%
LIVE RETURN
15 months
Equity Curve (log scale)
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Backtest
OOS Paper
Real Money
S&P 500
Performance by Period
| Period | Strategy | S&P 500 | Alpha | |
|---|---|---|---|---|
| 1 Month | +7.47% | +5.25% | +2.22% | ● LIVE |
| 3 Months | +11.68% | +11.03% | +0.64% | ● LIVE |
| 6 Months | +27.13% | +12.36% | +14.77% | ● LIVE |
| YTD | +24.92% | +11.76% | +13.16% | ● LIVE |
| 1 Year | +43.87% | +29.70% | +14.17% | ● LIVE |
| 3 Years | +119% | +87.24% | +31.38% | mixed |
| 5 Years | +165% | +93.91% | +71.00% | mixed |
| 10 Years | +507% | +325% | +181% | mixed |
| 15 Years | +819% | +652% | +166% | mixed |
| Since Inception | +3,301% | +934% | +2,367% | mixed |
● LIVE = period falls entirely within the real money period (Jun 2024 – present). Mixed = includes backtest data.
Drawdown Analysis
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Strategy Drawdown
S&P 500 Drawdown
S&P 500 Crises — Strategy Comparison
| # | Crisis Period | S&P 500 DD | Strategy DD | S&P 500 DD Days | Strategy DD Days |
|---|---|---|---|---|---|
| 1 | Mar 2002 – Jan 2004 | -32.97% | -12.07% | 668 days | 196 days |
| 2 | Oct 2007 – Aug 2012 | -55.19% | -10.70% | 1773 days | 470 days |
| 3 | Sep 2018 – Apr 2019 | -19.35% | -7.30% | 204 days | 116 days |
| 4 | Feb 2020 – Aug 2020 | -33.72% | -4.91% | 173 days | 36 days |
| 5 | Jan 2022 – Dec 2023 | -24.50% | -6.71% | 709 days | 247 days |
| 6 | Feb 2025 – Jun 2025 | -18.76% | -5.29% | 127 days | 48 days |
Table shows every major S&P 500 crisis (>10% drawdown from ATH) since 2000, and how the strategy performed during the same period. In 6 out of 7 crises, the strategy fell dramatically less and recovered faster. The only exception is Jul 2015 where the strategy's recovery took longer.
Calendar Year Returns
| Year | Strategy | S&P 500 | Alpha | |
|---|---|---|---|---|
| 2026* | +24.92% | +11.76% | +13.16% | ● LIVE |
| 2025 | +33.77% | +17.72% | +16.05% | ● LIVE |
| 2024 | +20.92% | +24.89% | -3.97% | ● OOS |
| 2023 | +11.09% | +26.18% | -15.09% | |
| 2022 | +8.82% | -18.65% | +27.47% | |
| 2021 | +22.55% | +28.73% | -6.18% | |
| 2020 | +33.16% | +18.33% | +14.83% | |
| 2019 | +18.24% | +31.22% | -12.98% | |
| 2018 | +3.58% | -4.57% | +8.15% | |
| 2017 | +12.80% | +21.70% | -8.90% | |
| 2016 | +18.22% | +12.00% | +6.22% | |
| 2015 | +1.08% | +1.23% | -0.15% | |
| 2014 | +14.73% | +13.47% | +1.26% | |
| 2013 | +17.36% | +32.31% | -14.95% | |
| 2012 | +10.54% | +15.99% | -5.45% | |
| 2011 | -2.68% | +0.85% | -3.53% | |
| 2010 | +10.53% | +15.06% | -4.53% | |
| 2009 | +30.95% | +26.35% | +4.60% | |
| 2008 | +26.10% | -36.80% | +62.90% | |
| 2007 | +13.58% | +5.15% | +8.43% | |
| 2006 | +13.23% | +15.84% | -2.61% | |
| 2005 | +8.87% | +5.33% | +3.54% | |
| 2004 | +9.75% | +10.71% | -0.96% | |
| 2003 | +20.55% | +28.17% | -7.62% | |
| 2002 | +5.97% | -21.58% | +27.55% |
* Partial year. ● LIVE = real money. ● OOS = paper trading with frozen parameters. Unmarked rows = backtest. Strategy was positive while S&P 500 negative in 2001, 2002, 2008, 2018, 2022.
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