Real monthly returns for each tier, from that tier's own 2018 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 30 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 2018, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2018 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2018. What changed was how much exposure the system took at each risk level.
| Risk tier | 2018 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +0.4% | −2.3% | 0.53× | |
| 2% | +1.5% | −4.2% | 0.98× | |
| 3% | +3.9% | −5.9% | 1.30× | |
| 4% | +6.9% | −6.9% | 1.54× | |
| 5% | +9.8% | −8.7% | 1.71× | |
| 6% | +8.8% | −8.9% | 1.81× |
Editorial commentary for 2018 is being finalized and will appear here shortly.