Communication Services — Quality was the risk-adjusted standout of the test: a 1.67 Sharpe, an 88.9% period win rate, and the smallest drawdown of the four at 5.9%.
Its +77.4% total return edged SPY while carrying roughly half the market exposure (beta 0.55).
Every metric is calculated from the same historical data, same time window, same assumptions — so the comparison is apples to apples.
Industrials — Momentum finished at +125.9% with the highest alpha of the test (+15.4%) at a below-market beta of 0.87.
It spent most of its first year underwater before recovering — backtested curves include long stretches of trailing, and this one shows it.
Every metric is calculated from the same historical data, same time window, same assumptions — so the comparison is apples to apples.
Financial Services — Momentum posted the highest total return of this test — +153.9% over three years, versus +72.0% for SPY.
The ride wasn't free — it carried a 17.8% max drawdown and 25.5% annualized volatility along the way, with a Sharpe of 1.26.
Every metric is calculated from the same historical data, same time window, same assumptions — so the comparison is apples to apples.
My Custom Strategy started as a built-in: adopted in the Strategy Builder, then modified into a user-defined variant with a wider 12-stock portfolio.
In this window it returned +89.7% versus SPY's +72.0%, with an 11.4% max drawdown — a middle-of-the-pack result, produced by rules you define and can re-run.
Every metric is calculated from the same historical data, same time window, same assumptions — so the comparison is apples to apples.
Change the sector universe or factor weights and re-run. The result always reflects exactly what you configured.





