Big Cap — Growth BIG CAP
Large-cap stocks, growth-oriented selection. Higher returns, more volatility than conservative.
Backtest Jan 2002 – Jun 2024
→OOS Paper Jun 2024 – Mar 2025
→Real Money Mar 2025 → present
OOS Paper TradingJun 2024 – Feb 2025 · 8 months
+14.3%
Return
22.2%
Annualized
-9.9%
Max DD
SPY: -8.4%
Parameters frozen. Next-day avg prices, commissions & slippage included.
Real MoneyMar 2025 – Present · 18 months
+126.2%
Return
SPY: +33.4%
72.3%
Annualized
SPY: 21.2%
-14.7%
Max DD
SPY: -14.7%
2.62
Sharpe
SPY: 1.26
Real capital, real broker, real execution.
+19.6%
ANN. RETURN
S&P 500: +10%
-19.3%
MAX DRAWDOWN
S&P 500: −55%
1.39
SHARPE RATIO
2.62
LIVE SHARPE
S&P 500: 1.26
25 yrs
TRACK RECORD
126.2%
LIVE RETURN
18 months
Equity Curve (log scale)
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Backtest
OOS Paper
Real Money
S&P 500
Performance by Period
| Period | Strategy | S&P 500 | Alpha | |
|---|---|---|---|---|
| 1 Month | +5.31% | -0.81% | +6.12% | ● LIVE |
| 3 Months | +5.63% | +3.86% | +1.77% | ● LIVE |
| 6 Months | +31.00% | +13.83% | +17.17% | ● LIVE |
| YTD | +52.31% | +12.90% | +39.42% | ● LIVE |
| 1 Year | +75.32% | +17.74% | +57.58% | ● LIVE |
| 3 Years | +216% | +77.25% | +139% | mixed |
| 5 Years | +315% | +83.48% | +231% | mixed |
| 10 Years | +977% | +316% | +662% | mixed |
| 15 Years | +1,828% | +755% | +1,073% | mixed |
| Since Inception | +8,213% | +945% | +7,268% | mixed |
● LIVE = period falls entirely within the real money period (Jun 2024 – present). Mixed = includes backtest data.
Drawdown Analysis
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Strategy Drawdown
S&P 500 Drawdown
S&P 500 Crises — Strategy Comparison
| # | Crisis Period | S&P 500 DD | Strategy DD | S&P 500 DD Days | Strategy DD Days |
|---|---|---|---|---|---|
| 1 | Mar 2002 – Jan 2004 | -32.97% | -19.32% | 668 days | 362 days |
| 2 | Oct 2007 – Aug 2012 | -55.19% | -16.01% | 1773 days | 477 days |
| 3 | Sep 2018 – Apr 2019 | -19.35% | -10.67% | 204 days | 124 days |
| 4 | Feb 2020 – Aug 2020 | -33.72% | -5.98% | 173 days | 43 days |
| 5 | Jan 2022 – Dec 2023 | -24.50% | -11.97% | 709 days | 362 days |
| 6 | Feb 2025 – Jun 2025 | -18.76% | -9.57% | 127 days | 63 days |
Table shows every major S&P 500 crisis (>10% drawdown from ATH) since 2000, and how the strategy performed during the same period. In 6 out of 7 crises, the strategy fell dramatically less and recovered faster. The only exception is Jul 2015 where the strategy's recovery took longer.
Calendar Year Returns
| Year | Strategy | S&P 500 | Alpha | |
|---|---|---|---|---|
| 2026* | +52.31% | +12.90% | +39.41% | ● LIVE |
| 2025 | +50.53% | +17.72% | +32.81% | ● LIVE |
| 2024 | +29.06% | +24.89% | +4.17% | ● OOS |
| 2023 | +15.67% | +26.18% | -10.51% | |
| 2022 | +9.58% | -18.65% | +28.23% | |
| 2021 | +31.31% | +28.73% | +2.58% | |
| 2020 | +39.24% | +18.33% | +20.91% | |
| 2019 | +21.10% | +31.22% | -10.12% | |
| 2018 | +0.40% | -4.57% | +4.97% | |
| 2017 | +13.22% | +21.70% | -8.48% | |
| 2016 | +29.85% | +12.00% | +17.85% | |
| 2015 | +1.32% | +1.23% | +0.09% | |
| 2014 | +19.53% | +13.47% | +6.06% | |
| 2013 | +17.60% | +32.31% | -14.71% | |
| 2012 | +13.03% | +15.99% | -2.96% | |
| 2011 | -6.15% | +0.85% | -7.00% | |
| 2010 | +13.18% | +15.06% | -1.88% | |
| 2009 | +42.86% | +26.35% | +16.51% | |
| 2008 | +19.87% | -36.80% | +56.67% | |
| 2007 | +18.52% | +5.15% | +13.37% | |
| 2006 | +16.69% | +15.84% | +0.85% | |
| 2005 | +14.68% | +5.33% | +9.35% | |
| 2004 | +11.63% | +10.71% | +0.92% | |
| 2003 | +31.77% | +28.17% | +3.60% | |
| 2002 | -0.97% | -21.58% | +20.61% |
* Partial year. ● LIVE = real money. ● OOS = paper trading with frozen parameters. Unmarked rows = backtest. Strategy was positive while S&P 500 negative in 2001, 2002, 2008, 2018, 2022.
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