Annual independent backtests · using the unbiased ndx20-yyyy pool for each year
v15 = Agile Alignment (cap-weight) · v16 = Equal-weight + Momentum Slot · QQQ 为同期基准
| Year | Pool | v15 | v16 | QQQ | v16 vs v15 | v16 vs QQQ | Detail |
|---|
trailing_stop=15% · score_threshold=0.3 · BTR breadth pulse enabled
| Year | Total Return | Max Drawdown | Sharpe | Win Rate | Trades | Capital Util |
|---|
trailing_stop=15% · score_threshold=0.3 · BTR breadth pulse enabled
| Year | Total Return | Max Drawdown | Sharpe | Win Rate | Trades | Capital Util |
|---|
Methodology
· Each year uses the corresponding ndx20-yyyy unbiased pool, constituents built from historical market caps to eliminate survivorship bias
· Backtest range: yyyy-01-01 → yyyy-12-31; QQQ benchmark normalized over the same period
· v15 (Agile Alignment): cap-weight (power=0.5), no momentum slot; v16 (Momentum): equal-weight (1/K), 1 momentum slot
· All v15 / v16 metrics are from independent backtests over the same period, full rerun on 2026-05-04