Simulated Performance
Four $100,000 simulated walk-forward portfolios: the same daily directional verdicts, three ETF sizing schemes, plus one that expresses rate views with bond futures. Simulation only - no real money; built to test signal quality.
Cumulative return · $100,000 start
Fixed equal-weightNon-rates · inverse-volRates · inverse-volRates futures
The rates-futures portfolio started on 2026-09-18, so its line begins later.
Portfolio by portfolio
$5,000 per position across stocks, bonds and commodities.
Return
+5.52%
SPY +1.96%
Sharpe
1.63
94 trading days
Max drawdown
-3.91%
peak to trough
Win rate
44.1%
68 closed · 18 open
Simulated portfolioSPY total return
Sized by inverse volatility, so wilder ETFs get less; no bonds.
Return
+3.15%
SPY +1.96%
Sharpe
1.49
94 trading days
Max drawdown
-1.91%
peak to trough
Win rate
37.9%
58 closed · 18 open
Simulated portfolioSPY total return
Bond ETFs only, sized by inverse volatility.
Return
+2.84%
AGG -2.55%
Sharpe
1.12
93 trading days
Max drawdown
-0.74%
peak to trough
Win rate
66.7%
12 closed · 4 open
Only 12 closed trades so far; read the figures as directional.
Details →Simulated portfolioAGG total return
Rate views expressed with US and Canadian bond futures, risk capped per tenor by DV01.
Return
+13.46%
Cash (3M T-bill) +0.30%
Sharpe
—
n/a under 30 days
Max drawdown
-4.21%
peak to trough
Win rate
—
4 closed · 7 open
Started Sep 18: only 20 trading days, most of the gain came on Sep 23 alone; so the figures prove nothing yet. Net of trading costs.
Details →Simulated portfolioBenchmark: Cash (3M T-bill) +0.30%
Methodology
- $100,000 simulated portfolio, walk-forward, fills at the signal day's close
- no fees, slippage or taxes, except the rates-futures portfolio
- benchmarks are total-return (dividends included)
- simulated results are not live trading and do not predict future performance.