Return year to date
+8.5%
Updated through 2 Oct 2026
- vs S&P 500
- +6.3%
- Sharpe ratio
- 1.57
- Max drawdown
- -5.0%
- Realized vol
- 15%
Performance
- Systematic
- S&P 500 (SPY)
Methodology
Growth of 100 invested on 29 May 2026. Daily time-weighted returns from the account's net asset value in USD, with deposits counted at the start of the day, net of all commissions and fees. Benchmark: SPY with dividends reinvested.
Monthly returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | 2026 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Systematic | +7.4% | +0.5% | +0.7% | -0.2% | -0.1% | +8.5% | |||||||
| S&P 500 (SPY) | -1.0% | 0.0% | +2.7% | -0.3% | +0.9% | +2.3% | |||||||
| Difference | +8.5% | +0.5% | -2.0% | +0.2% | -1.0% | +6.3% |
Return by strategy
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | 2026 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Strategy 1 · since 10 Jun 2026 | +7.7% | -2.2% | +0.7% | +0.5% | +6.6% | ||||||||
| Strategy 2 · inactive · 18 Aug – 25 Sep 2026 | -0.8% | -0.6% | -1.4% | ||||||||||
| Cash, FX & fees | -0.2% | +2.8% | +0.8% | 0.0% | -0.1% | +3.4% | |||||||
| Total | +7.4% | +0.5% | +0.7% | -0.2% | -0.1% | +8.5% |
Methodology
Each strategy's contribution to the account's return: its daily profit and loss, net of commissions, over the account's value at the start of the day. The parts add up to the total.
Log
Setting Strategy 3 active. Event-driven. Modest but robust positive expectancy in backtest and OOS. Gap risk, so sized accordingly.
Strategy 2 moved back to dry-run. Its losing days in live trading came more often, and cut deeper, than the model expected. I have made some changes, and it runs on paper for now.