Real monthly returns for each tier, from that tier's own 2022 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 76 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 2022, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2022 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2022. What changed was how much exposure the system took at each risk level.
| Risk tier | 2022 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +4.5% | −2.5% | 0.32× | |
| 2% | +8.6% | −5.1% | 0.64× | |
| 3% | +12.8% | −6.5% | 0.91× | |
| 4% | +13.9% | −9.1% | 1.07× | |
| 5% | +20.4% | −9.3% | 1.22× | |
| 6% | +26.6% | −10.5% | 1.36× |
Editorial commentary for 2022 is being finalized and will appear here shortly.