Real monthly returns for each tier, from that tier's own 2020 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 48 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 2020, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2020 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2020. What changed was how much exposure the system took at each risk level.
| Risk tier | 2020 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +5.3% | −3.3% | 0.37× | |
| 2% | +12.9% | −4.6% | 0.69× | |
| 3% | +19.7% | −5.8% | 0.89× | |
| 4% | +23.2% | −7.3% | 1.04× | |
| 5% | +26.6% | −7.6% | 1.15× | |
| 6% | +34.7% | −7.7% | 1.27× |
Editorial commentary for 2020 is being finalized and will appear here shortly.