Research · 2021-08-25 → 2026-08-22
89 Strategy Rules, Backtested Over Five Years (2021–2026)
A backtest of our 89 strategy rules over 2021–2026. Past results, chosen with hindsight; not a forecast. Same window, same rules, same benchmark (SPY) for every strategy, $10,000 starting capital.
Updated 4 October 2026: re-run on total returns (dividends and fund distributions reinvested) and on each strategy's current screen, refreshed overnight. Both moved the rows, so a row's change is not its dividends alone. SPY and the four proxy-basket strategies, which no screen changes, show the total-return change on its own: SPY went from +70.6% to +82.5% over the window. Elsewhere a refreshed screen raised some rows and lowered others. Every row reflects the re-run.
Updated 3 October 2026: re-run after fixes to the backtest engine. Prices now start on 25 August 2021, as the window does (the previous run's started on 29 September 2021; two crypto strategies' only on 29 September 2025); coins are bought in fractions rather than whole units; and the four proxy-basket strategies are measured on funds that follow their thesis. Every row reflected that re-run.
The full ranking
Every figure below is a hypothetical backtest over 2021-08-25 to 2026-08-22, not a realized return. Portfolios are formed from each strategy's screen as of the run date and held unchanged for the whole window, so the results carry look-ahead and survivorship limitations.
| # | Strategy | Ann. return (backtested) | Total (backtested) | Sharpe | Max DD | Vol | Holdings |
|---|---|---|---|---|---|---|---|
| 1 | Capital Efficiency | +69.0% | +1269.5% | 1.30 | -52.0% | +43.9% | 10 |
| 2 | Long/Short Equity | +60.9% | +973.6% | 1.35 | -46.1% | +36.4% | 10 |
| 3 | Emerging Growth Leaders | +57.8% | +871.8% | 1.28 | -39.4% | +37.2% | 10 |
| 4 | Buyback Champions | +57.7% | +871.4% | 1.29 | -39.6% | +36.9% | 10 |
| 5 | High Beta | +56.4% | +829.6% | 1.16 | -45.4% | +41.6% | 10 |
| 6 | Statistical Arbitrage | +55.7% | +811.3% | 1.27 | -39.6% | +36.0% | 10 |
| 7 | Insider Buying | +54.9% | +786.9% | 1.30 | -38.2% | +34.3% | 10 |
| 8 | Disruptive Innovation | +54.1% | +764.0% | 1.17 | -42.1% | +39.3% | 10 |
| 9 | Net-Net Working Capital | +53.9% | +759.7% | 1.08 | -48.8% | +44.4% | 10 |
| 10 | Quality Factor | +52.1% | +709.6% | 1.11 | -47.0% | +40.7% | 10 |
| 11 | Clean Energy Transition | +50.0% | +655.8% | 1.13 | -45.6% | +37.8% | 10 |
| 12 | Technology Leaders | +49.8% | +650.3% | 1.03 | -56.6% | +43.4% | 10 |
| 13 | F-Score Value | +49.8% | +650.0% | 1.11 | -46.0% | +38.3% | 10 |
| 14 | Healthcare Innovation | +47.0% | +584.1% | 1.06 | -44.6% | +38.8% | 10 |
| 15 | Wide Moat | +46.3% | +566.5% | 1.04 | -41.9% | +38.8% | 10 |
| 16 | Post-Earnings Drift | +45.4% | +548.0% | 0.89 | -58.9% | +51.6% | 10 |
| 17 | ESG Integration | +39.9% | +433.3% | 1.12 | -32.2% | +29.4% | 10 |
| 18 | Impact Investing | +38.1% | +399.7% | 0.92 | -42.4% | +36.8% | 10 |
| 19 | Price Momentum - 12M | +37.9% | +397.4% | 1.13 | -29.8% | +27.2% | 10 |
| 20 | High Growth Momentum | +36.6% | +374.5% | 0.94 | -43.4% | +34.0% | 10 |
| 21 | Artificial Intelligence Leaders | +36.4% | +370.1% | 0.96 | -34.8% | +32.5% | 10 |
| 22 | Exclusionary Screening | +35.8% | +360.4% | 0.94 | -39.6% | +33.1% | 10 |
| 23 | Machine Learning Alpha | +31.4% | +290.5% | 1.10 | -28.3% | +22.5% | 10 |
| 24 | Option Premium Selling | +29.7% | +266.0% | 1.18 | -20.6% | +19.2% | 10 |
| 25 | GARP - Growth at Reasonable Price | +29.2% | +258.4% | 0.98 | -29.7% | +23.8% | 10 |
| 26 | Index Inclusion | +28.4% | +247.3% | 0.75 | -40.4% | +34.2% | 10 |
| 27 | Quality Growth | +28.3% | +247.2% | 0.98 | -26.0% | +23.0% | 10 |
| 28 | Carbon Transition | +28.2% | +245.2% | 0.76 | -39.0% | +33.2% | 10 |
| 29 | Micro Cap | +27.6% | +236.6% | 0.73 | -41.4% | +34.8% | 10 |
| 30 | Small Cap Growth | +27.5% | +236.2% | 0.73 | -46.6% | +34.1% | 10 |
| 31 | Earnings Momentum | +26.4% | +222.4% | 0.73 | -43.3% | +32.0% | 10 |
| 32 | ESG Leaders | +25.8% | +213.8% | 0.81 | -37.6% | +26.2% | 10 |
| 33 | 52-Week High Momentum | +25.2% | +206.9% | 0.72 | -38.5% | +30.5% | 10 |
| 34 | International Developed Value | +23.4% | +184.9% | 0.93 | -24.6% | +18.9% | 10 |
| 35 | Deep Value Investing | +22.1% | +170.8% | 0.55 | -63.7% | +47.3% | 10 |
| 36 | Quality-Value-Momentum | +19.9% | +147.2% | 0.82 | -22.1% | +17.7% | 10 |
| 37 | Contrarian Value | +19.8% | +145.8% | 0.51 | -70.5% | +52.9% | 10 |
| 38 | Value-Momentum Combo | +19.7% | +145.1% | 0.76 | -17.7% | +19.2% | 10 |
| 39 | Currency Carry | +18.6% | +134.5% | 0.70 | -22.9% | +20.0% | 10 |
| 40 | Relative Strength Sector | +16.7% | +116.2% | 0.59 | -23.3% | +21.1% | 10 |
| 41 | Mean Reversion RSI | +16.4% | +113.4% | 0.62 | -27.4% | +19.3% | 10 |
| 42 | Acquirer's Multiple | +16.3% | +111.9% | 0.54 | -27.3% | +23.2% | 10 |
| 43 | Market Neutral | +16.2% | +111.8% | 0.55 | -27.8% | +22.9% | 10 |
| 44 | Activist Investing | +16.2% | +111.7% | 0.53 | -42.2% | +24.3% | 10 |
| 45 | Magic Formula | +15.9% | +109.1% | 0.56 | -28.5% | +21.2% | 10 |
| 46 | Sector Rotation | +15.8% | +108.2% | 0.57 | -22.3% | +20.4% | 10 |
| 47 | Spin-Off Investingproxy basket | +15.6% | +105.8% | 0.51 | -30.1% | +23.6% | 1 |
| 48 | Emerging Markets Value | +14.8% | +98.8% | 0.44 | -23.6% | +28.5% | 6 |
| 49 | Commodity Momentum | +14.3% | +94.9% | 0.55 | -22.0% | +17.9% | 10 |
| 50 | Covered Call Income | +13.7% | +89.5% | 0.59 | -16.5% | +14.9% | 10 |
| 51 | Turtle Trading | +13.0% | +84.1% | 0.51 | -22.4% | +16.6% | 9 |
| 52 | Low Volatility Quality | +12.8% | +82.2% | 0.52 | -14.1% | +15.4% | 10 |
| 53 | Systematic Global Macro | +12.5% | +79.9% | 0.49 | -22.2% | +16.1% | 10 |
| 54 | Trend Following | +11.8% | +74.8% | 0.53 | -17.5% | +12.9% | 10 |
| 55 | Dual Momentum | +11.5% | +71.8% | 0.46 | -19.8% | +14.4% | 10 |
| 56 | Small Cap Value | +11.4% | +71.4% | 0.38 | -19.1% | +19.6% | 10 |
| 57 | Defensive Rotation | +11.3% | +70.6% | 0.46 | -15.5% | +14.0% | 6 |
| 58 | Factor Timing | +11.1% | +68.7% | 0.40 | -24.0% | +16.6% | 10 |
| 59 | Dividend Growth | +11.0% | +68.1% | 0.45 | -14.4% | +13.8% | 10 |
| 60 | Merger Arbitrage | +10.7% | +66.2% | 0.34 | -22.6% | +21.3% | 10 |
| 61 | Leveraged ETF Decay | +9.8% | +59.6% | 0.29 | -46.1% | +31.6% | 10 |
| 62 | Global Macro Discretionary | +9.6% | +57.7% | 0.39 | -16.4% | +11.8% | 8 |
| 63 | Minimum Variance | +9.2% | +55.3% | 0.32 | -22.0% | +14.9% | 10 |
| 64 | 60/40 Balanced | +9.0% | +53.5% | 0.39 | -15.8% | +9.9% | 10 |
| 65 | Low Volatility | +8.9% | +53.4% | 0.33 | -12.1% | +12.9% | 10 |
| 66 | Consistent Earners | +8.9% | +52.9% | 0.29 | -20.4% | +15.2% | 10 |
| 67 | Dogs of the Dow | +8.2% | +48.4% | 0.25 | -19.9% | +15.4% | 5 |
| 68 | Permanent Portfolio | +8.0% | +46.4% | 0.33 | -14.1% | +8.4% | 10 |
| 69 | Dividend Value | +7.8% | +45.2% | 0.21 | -29.6% | +18.9% | 10 |
| 70 | AQR Style Premia | +7.1% | +40.6% | 0.23 | -14.8% | +8.8% | 10 |
| 71 | Risk Parity | +7.0% | +40.4% | 0.20 | -17.2% | +10.7% | 10 |
| 72 | All-Weather Portfolio | +6.2% | +35.0% | 0.13 | -14.4% | +8.9% | 10 |
| 73 | Convertible Arbitrageproxy basket | +5.8% | +32.7% | 0.10 | -29.0% | +13.6% | 2 |
| 74 | Golden Butterfly | +5.8% | +32.1% | 0.09 | -22.1% | +11.0% | 10 |
| 75 | REIT Income | +5.6% | +31.1% | 0.11 | -28.5% | +19.7% | 10 |
| 76 | Crypto Blue Chips | +5.3% | +29.2% | 0.14 | -67.0% | +36.5% | 10 |
| 77 | VIX Term Structure | +5.1% | +28.3% | 0.22 | -69.5% | +43.7% | 5 |
| 78 | Managed Volatility | +4.8% | +26.2% | -0.02 | -20.2% | +8.5% | 9 |
| 79 | VIX Timingproxy basket | +4.1% | +22.2% | -0.05 | -17.0% | +11.5% | 1 |
| 80 | Treasury Rotation | +3.9% | +21.2% | -2.13 | -0.8% | +0.6% | 3 |
| 81 | Fama-French 3-Factor | +3.2% | +16.9% | 0.01 | -29.2% | +21.6% | 10 |
| 82 | High Yield Dividend | +2.2% | +11.3% | -0.07 | -30.4% | +18.9% | 10 |
| 83 | Preferred Stock Income | +1.7% | +8.9% | -0.34 | -20.2% | +9.0% | 8 |
| 84 | Layer 2 Scaling Thesis | -0.4% | -1.9% | 0.16 | -81.8% | +53.1% | 10 |
| 85 | Fama-French 5-Factor | -1.0% | -4.7% | -0.24 | -32.2% | +18.6% | 10 |
| 86 | DeFi Yield & Growth | -2.4% | -11.3% | 0.10 | -77.1% | +47.8% | 10 |
| 87 | Tail Risk Hedgingproxy basket | -3.3% | -15.4% | -0.93 | -19.8% | +8.8% | 3 |
| 88 | Crypto Value — Distance from ATH | -8.1% | -34.4% | 0.11 | -84.3% | +58.9% | 10 |
| 89 | Crypto Momentum | -14.8% | -55.1% | 0.02 | -84.8% | +58.6% | 10 |
How we ran it
- One identical harness. Every strategy: equal-weight buy-and-hold of its top screened picks (up to 10, ranked by alignment score), $10,000 initial capital, 2021-08-25 to 2026-08-22, daily total-return closes (dividends and distributions reinvested) from our production data pipeline, SPY as the benchmark. Stocks and funds are bought in whole shares, coins in fractions.
- Real screens, not stories. Each strategy's holdings come from its live screening criteria (P/E, momentum, quality, volatility bounds…) — the same screens shown on every strategy page, where you can inspect each pick and exactly which criteria it met.
- Failures are reported. Every run completed.
Read this before quoting the table
Portfolios are formed from each strategy's screen as of the run date and held unchanged across the whole window. That means look-ahead and survivorship effects flatter the absolute numbers — a company that passes a quality screen today often looks good precisely because the last five years went well for it. The ranking is most useful for comparing strategies against each other under identical treatment, not as a forecast of forward returns.
Rows marked "proxy basket" have no screen that yields a stable stock list, so each was backtested on funds that follow its thesis: Spin-Off Investing on a spin-off index fund (CSD); Tail Risk Hedging on three tail-risk and defensive funds (TAIL, BTAL, SWAN); Convertible Arbitrage on two convertible-bond funds (CWB, ICVT), long only, without the strategy's short-stock hedge; and VIX Timing on PHDG, a fund that shifts between the S&P 500, VIX futures and cash by volatility. Volatility Targeting, Moving Average Crossover and Seasonal Trading screen the same seven broad index ETFs and all three pass all seven, so their results are identical: a buy-and-hold test can't model their timing rules. They are left out of the counts and the table rather than counted three times. Thirteen holdings began trading after the window opened, among them SNDK (February 2025), SOLV (March 2024) and HONA (June 2026). Each one's share of the portfolio is valued at its first price until it lists, so it earns nothing before then, like idle cash.
Past performance does not predict future results. This article is educational research, not investment advice.
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