Managed Futures Proxy

Total Return

+2.1%

Sharpe Ratio

-0.72

Max Drawdown

-6.6%

Win Rate

50.0%

Alpha

+0.0%

Comp. Score *

0.02

Risk Parameters

Max Allocation0.0%

Stop Loss6.6%

Take Profit5.0%

Max DD Tolerance6.6%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleBuy 0.5% below market in uptrend.

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links

▶ For Passive Investors (Buy & Hold)

This strategy is NOT recommended for passive investing. If you still want exposure: Limit to 5% of your portfolio maximum.

Avg 5Y Return

15.8%

Avg 5Y Sharpe

-0.52

Avg 5Y Max DD

-9.4%

10Y Return (2015-2024)

23.7%

10Y Sharpe

-0.29

10Y Max DD

-14.5%

HODL Composite

0.04

Windows Tested

Consistency

32%