Real monthly returns for each tier, from that tier's own 2015 daily backtest equity curve. Each tier's own risk-unit sizing and deleveraging path, not scaled from another tier.
At the 6% risk tier, the strategy spent 97 trading days in a reduced-exposure state, stepping the risk budget down as drawdown deepened past the 5% / 10% / 15% / 20% thresholds. This is the mechanism's core purpose: capital preservation during uncertainty, full deployment when the trend is clear.
Indexed to 0% at the start of 2015, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2015 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2015. What changed was how much exposure the system took at each risk level.
| Risk tier | 2015 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +1.6% | −3.3% | 0.38× | |
| 2% | +3.2% | −6.4% | 0.73× | |
| 3% | +5.3% | −8.3% | 0.99× | |
| 4% | +4.6% | −10.1% | 1.20× | |
| 5% | +4.7% | −11.5% | 1.36× | |
| 6% | +1.4% | −15.6% | 1.46× |
Editorial commentary for 2015 is being finalized and will appear here shortly.