Real monthly returns for each tier, from that tier's own 2021 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 39 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 2021, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2021 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2021. What changed was how much exposure the system took at each risk level.
| Risk tier | 2021 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +10.8% | −2.2% | 0.44× | |
| 2% | +18.2% | −4.3% | 0.82× | |
| 3% | +25.6% | −6.2% | 1.13× | |
| 4% | +30.9% | −8.1% | 1.34× | |
| 5% | +38.9% | −10.0% | 1.57× | |
| 6% | +37.0% | −11.4% | 1.70× |
Editorial commentary for 2021 is being finalized and will appear here shortly.