US growth equities
Backtest results · hypothetical, not live
2003–today
Performance
Detail
Results from a single backtest on QuantConnect. Costs and slippage modeled per the strategy's deployment specification.
See how the broad-market gate protected capital through every major crisis since 2003, from the Great Financial Crisis to the 2026 geopolitical selloff.
About
Holds growth stocks with strong fundamentals while both the stock and the broad market are trading healthily. A market-health gate cuts exposure when conditions deteriorate. Holding periods run days to weeks.
The universe is rebuilt at every rebalance from data as it stood on that date, so the backtest reflects what the rules would actually have picked rather than what today's winners imply.
2003 to 2026, net of costs: 24.3% a year at a 0.77 Sharpe, with a 28.9% drawdown. Unlevered: 12.9% and 15.7%. The settings were tuned on 2015 to 2026, so out of sample the edge is roughly half that, and about 15% a year is the fairer expectation. Capacity is small. Traded with real capital, on and off, since May 2025.