Real monthly returns for each tier, from that tier's own 2023 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 0 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 2023, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2023 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2023. What changed was how much exposure the system took at each risk level.
| Risk tier | 2023 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +5.1% | −1.2% | 0.41× | |
| 2% | +10.5% | −2.2% | 0.74× | |
| 3% | +14.8% | −3.2% | 0.97× | |
| 4% | +20.7% | −3.6% | 1.16× | |
| 5% | +25.6% | −4.2% | 1.34× | |
| 6% | +33.0% | −4.5% | 1.47× |
Editorial commentary for 2023 is being finalized and will appear here shortly.