Real monthly returns for each tier, from that tier's own 2017 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 7 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 2017, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2017 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2017. What changed was how much exposure the system took at each risk level.
| Risk tier | 2017 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +9.6% | −1.5% | 0.62× | |
| 2% | +15.7% | −3.0% | 1.10× | |
| 3% | +25.6% | −3.4% | 1.45× | |
| 4% | +32.6% | −4.2% | 1.69× | |
| 5% | +34.6% | −5.2% | 1.81× | |
| 6% | +35.7% | −5.8% | 1.88× |
Editorial commentary for 2017 is being finalized and will appear here shortly.