Trailing-Return Rotation Book
PortfolioAllocates across three trend strategies, holding the two with the best trailing return.
What this strategy does
Trailing-Return Rotation Book is a portfolio strategy that trades 3-strategy book on 1-hour bars. Allocates across three trend strategies, holding the two with the best trailing return.
How it performed
Backtested on real 3-strategy book market data from 2023-08-01 to 2026-06-30 (2.9 years), this run returned +147.2%, or +36.4% annualized. It closed 216 trades with a 36% win rate. Risk-adjusted, that is a Sharpe ratio of 1.43, a Sortino ratio of 2.13 and a maximum drawdown of 12.5%.
| Symbol | 3-strategy book |
|---|---|
| Bar size | 1-hour |
| Strategy type | Portfolio |
| Backtest period | 2023-08-01 → 2026-06-30 |
| Total return | +147.2% |
| Annualized return | +36.4% |
| Sharpe ratio | 1.43 |
| Sortino ratio | 2.13 |
| Max drawdown | 12.5% |
| Win rate | 36% |
| Closed trades | 216 |
Evidence
Full backtest
Loading the full backtest…
Past performance does not guarantee future results. Hypothetical.