Real monthly returns for each tier, from that tier's own 2016 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 29 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 2016, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2016 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2016. What changed was how much exposure the system took at each risk level.
| Risk tier | 2016 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +5.5% | −1.8% | 0.44× | |
| 2% | +11.2% | −3.2% | 0.84× | |
| 3% | +18.8% | −3.9% | 1.12× | |
| 4% | +25.7% | −5.0% | 1.35× | |
| 5% | +33.6% | −6.1% | 1.54× | |
| 6% | +37.3% | −6.8% | 1.64× |
Editorial commentary for 2016 is being finalized and will appear here shortly.