Real monthly returns for each tier, from that tier's own 2024 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 35 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 2024, shown at the 6% tier. Real daily equity curve, resampled to monthly.
Cumulative return · Jan–Dec 2024 · Levered trending 6% tier · Real backtest
The signal was identical across all tiers in 2024. What changed was how much exposure the system took at each risk level.
| Risk tier | 2024 return | Max drawdown | Avg exposure | Return bar |
|---|---|---|---|---|
| 1% | +6.5% | −1.7% | 0.42× | |
| 2% | +14.5% | −3.5% | 0.80× | |
| 3% | +21.5% | −5.5% | 1.10× | |
| 4% | +26.0% | −6.8% | 1.28× | |
| 5% | +32.3% | −8.6% | 1.45× | |
| 6% | +37.2% | −10.0% | 1.61× |
Editorial commentary for 2024 is being finalized and will appear here shortly.