| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Yr% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 1.6% | 0.2% | 4.1% | -3.1% | 1.8% | 1.3% | 3.2% | 8.2% | 2.7% | -5.4% | 5.4% | 5.3% | 27.4% |
| 2017 | 10.8% | 2.0% | 5.7% | 3.7% | 6.8% | -3.4% | 6.3% | 5.8% | 5.7% | 11.0% | -4.3% | -4.8% | 53.7% |
| 2018 | 15.0% | -0.5% | -3.4% | 0.2% | 10.8% | 1.7% | 1.8% | 12.7% | 0.6% | -3.4% | -1.0% | -5.0% | 31.1% |
| 2019 | 2.1% | 0.6% | 1.1% | 2.6% | -4.1% | 9.8% | 4.1% | 1.5% | -9.4% | 13.8% | -2.9% | 11.1% | 31.7% |
| 2020 | 14.2% | 3.4% | -11.0% | 23.5% | 14.7% | 16.0% | 16.5% | 32.7% | -9.8% | -7.2% | 26.9% | 13.7% | 222.8% |
| 2021 | 7.3% | -0.9% | 1.1% | 3.3% | -1.5% | 3.8% | 2.0% | 6.2% | -5.9% | 22.0% | 7.0% | 1.0% | 52.3% |
| 2022 | -19.0% | 0.9% | 3.8% | -4.3% | 0.1% | -4.8% | 0.2% | -6.0% | -2.6% | 9.4% | 7.9% | -3.7% | -19.2% |
| 2023 | 5.9% | -3.0% | 6.1% | -0.9% | 14.5% | 7.4% | 7.3% | -2.6% | -7.6% | -3.6% | 14.4% | 3.8% | 46.8% |
| 2024 | 11.0% | 15.7% | 7.9% | -4.4% | 12.1% | 5.5% | -8.1% | 4.7% | -2.5% | 24.4% | 9.2% | -6.0% | 87.7% |
| 2025 | 6.8% | -4.1% | -9.4% | 6.8% | 2.1% | 5.7% | 5.2% | 2.2% | 9.0% | 23.4% | 3.7% | 4.4% | 67.2% |
| 2026 | 25.8% | 6.3% | -8.6% | 47.8% | 30.4% | 23.6% | -35.3% | -0.8% | 8.9% | -1.5 | N/A | N/A | 100.3% |
As of 10/07/26.
Effective 07/20/26 a new parabolic filter was added to the ranking formula.
Returns since that date reflect this new formula. Prior returns have not been changed to maintain integrity.
Past performance is not an indicator of future performance. Returns since Jan 2026 are real time. Prior years are
simulated using the static filtering formula. No subjective decisions were included on individual seclections,
strictly mechanical. A slippage cost of 3bps round trip was applied to all trades. Holds 5 stocks at all times.
CAR: 51.7% MDD: 48.3% Wins: 59.3% Avg Duration: 6.8 wks