Ultra-concentrated configuration: PCT_TRAIL 25% · 3 positions · RS_20 ranking · Quarterly rebalance.
Each window runs exactly 10 years starting March 1. Walk-forward simulation — no look-ahead bias. Initial capital $100,000.
Run date: 2026-04-18.
| Window (10 years) | Total Return | CAGR | SPY Return | SPY CAGR | Alpha (return) | Max DD | SPY Max DD | Final $ | Sharpe | Win Rate | Avg Win | Avg Loss | Trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006-03-01 → 2016-03-01 | +870.2% | +25.5% | +88.0% | +6.5% | +782.2% | -22.1% | -55.2% | $970,218 | 1.01 | 64.3% | +14.2% | -8.4% | 129 |
| 2007-03-01 → 2017-03-01 | +956.0% | +26.6% | +110.1% | +7.7% | +845.9% | -22.1% | -55.2% | $1,056,015 | 1.07 | 63.2% | +14.9% | -7.9% | 125 |
| 2008-03-01 → 2018-03-01 | +846.2% | +25.2% | +147.2% | +9.5% | +699.1% | -22.1% | -51.5% | $946,208 | 1.06 | 61.3% | +14.6% | -7.1% | 124 |
| 2009-03-01 → 2019-03-01 | +787.2% | +24.4% | +387.1% | +17.2% | +400.1% | -22.1% | -19.3% | $887,186 | 1.07 | 61.0% | +14.6% | -7.2% | 123 |
| 2010-03-01 → 2020-03-01 | +577.6% | +21.1% | +223.4% | +12.5% | +354.3% | -30.0% | -19.3% | $677,649 | 0.95 | 57.1% | +15.0% | -7.5% | 126 |
| 2011-03-01 → 2021-03-01 | +831.6% | +25.0% | +263.1% | +13.8% | +568.5% | -35.3% | -33.7% | $931,581 | 1.04 | 61.7% | +14.8% | -8.0% | 128 |
| 2012-03-01 → 2022-03-01 | +567.3% | +20.9% | +278.1% | +14.2% | +289.2% | -35.3% | -33.7% | $667,270 | 0.90 | 59.2% | +14.6% | -8.3% | 130 |
| 2013-03-01 → 2023-03-01 | +603.8% | +21.6% | +212.5% | +12.1% | +391.3% | -35.3% | -33.7% | $703,812 | 0.91 | 59.2% | +14.7% | -8.1% | 130 |
| 2014-03-01 → 2024-03-01 | +306.6% | +15.1% | +232.2% | +12.8% | +74.4% | -35.3% | -33.7% | $406,602 | 0.71 | 57.7% | +12.6% | -8.1% | 130 |
| 2015-03-01 → 2025-03-01 | +354.7% | +16.4% | +233.6% | +12.8% | +121.1% | -35.3% | -33.7% | $454,683 | 0.75 | 57.7% | +13.0% | -8.2% | 130 |
| 2016-03-01 → 2026-03-01 | +701.7% | +23.2% | +308.6% | +15.1% | +393.2% | -35.3% | -33.7% | $801,743 | 0.91 | 60.8% | +14.8% | -8.2% | 130 |
The 3-position configuration delivered the strongest results across all metrics tested: avg CAGR +22.3%, avg Sharpe 0.94, and avg final value of $727K from $100K starting capital. It beat SPY in every single 10-year window and produced the highest win/loss ratio (+14.3% / -7.9% = 1.81) of any configuration.
The trade-off is extreme concentration: holding only 3 positions at a time means portfolio outcomes are heavily dependent on just a handful of RS_20 leaders per quarter. A single earnings gap-down or sector rotation on one of these positions has a magnified impact. The 25% trailing stop provides a backstop, but investors must be prepared for significant equity swings between rebalance periods.
Recommendation by risk tolerance: Conservative → 9 positions (+16.9% avg CAGR, lowest DD). Moderate → 5 positions (+18.7%). Aggressive → 3 positions (+22.3%, highest variance). All three configurations beat SPY in every 10-year window tested.