Historical backtest performance across two time windows: the past 3 years and the full 6-year available history. All figures include regulatory fees and 2bps slippage.
Every trading day, momentum signals evaluate 10+ ETFs across equity indexes, short-term Treasuries (SGOV), and gold — rotating capital to where the risk/reward is strongest.
Continuously monitors market-wide conditions — identifying when key assets become significantly oversold or overbought, triggering defensive or opportunistic positioning.
When all signals align, the algorithm concentrates into a high-conviction position. These few times a year moves have been exhaustively backtested — they're the source of the surges you see in the charts.
The low (about −5%) max drawdown and the periodic surges are two sides of the same strategy: patient most of the time, aggressive when conditions are proven right.
Full explanation on Home →$10,000 starting investment. Fees included ($30.06 regulatory fees, $185.25 slippage). Calm Growth Model returned +106% vs SPY's +86.4% — outperforming by over 19 percentage points with significantly lower drawdown.
Backtest simulation · 2bps slippage · Fees included
ℹ️ The four numbers above (Cumulative, Final Value, Max Drawdown) are auto-refreshed daily from the Backtest page using yfinance closing prices applied to the full 3-year allocation history.
Over 3 years (May 2023 → May 2026), Calm Growth Model returned +106% vs SPY's +86.4% — more than 19 percentage points ahead. More critically, the maximum drawdown was about −5.9% vs SPY's −18.8%. A $100,000 account would have seen a worst-case loss of around $5,900 at its lowest point, while an equivalent SPY holding would have lost ~$18,800. Annualized return: 27%. Calmar ratio: 5.6.
| Metric | BLEE Calm Growth Model | S&P 500 (SPY) | Edge |
|---|---|---|---|
| Cumulative Return | +121.54% | +85.98% | +35.6pp ahead |
| Annualized Return | +30.45% | +23.08% | +7.4pp |
| Final Value ($10K start) | $22,154 | $18,598 | +$3,556 |
| Max Drawdown | −4.75% | −18.76% | 3.9× safer |
| Calmar Ratio | 5.6 | 1.2 | ~4.7× better |
| Sharpe Ratio | 1.21 | 1.45 | Better risk-adj. |
| Beta (vs SPY) | 0.25 | 1.00 | Low correlation |
| Alpha (vs SPY) | +0.13 | 0.00 | Consistent alpha |
| Total Slippage | $185.25 | — | — |
2022 was the worst calendar year for the S&P 500 since 2008. Calm Growth Model's bond-rotation logic stepped in and delivered positive returns throughout — proof of genuine downside protection.
2022 full-year backtest · 2bps slippage · Fees included
While the S&P 500 lost −18.65% in 2022 (and hit a max drawdown of −24.5%), Calm Growth Model gained +12.65% with a max drawdown of only −4.1%. That's a 31.3pp outperformance advantage in a single year — the most important test any strategy can face. Investors who followed the signal didn't just avoid losses; they came out ahead.
| Metric | BLEE Calm Growth Model | S&P 500 (SPY) | Edge |
|---|---|---|---|
| Full-Year Cumulative Return | +12.6% | −18.6% | +31.2pp |
| Annualized Return | +12.7% | −18.7% | +31.4pp |
| Final Value ($10K start) | $11,263.06 | ~$8,135 | +$3,128 ahead |
| Max Drawdown | −4.1% | −24.5% | 6× safer |
| Calmar Ratio | 3.09 | −0.76 | SPY negative |
| Sharpe Ratio | 1.17 | −0.74 | SPY negative |
| Standard Deviation | 10.7% | 24.3% | 2.3× less volatile |
| Trailing 1M Return | +0.5% | −5.8% | — |
| Trailing 3M Return | +2.3% | +7.6% | — |
| Alpha (vs SPY) | +0.14 | 0.00 | Strong alpha |
| Beta (vs SPY) | 0.07 | 1.00 | Near-zero correlation |
| Regulatory Fees | $7.66 | — | — |
| Total Slippage (2bps) | $44.82 | — | — |
All three algorithm layers worked in concert during the 2022 bear market. Layer 1 (daily momentum rotation) shifted capital out of equities and into short-term Treasury ETFs (SGOV) and gold-related positions — assets that held value or gained as rates rose. Layer 2 (market condition monitoring) detected the sustained overbought-then-collapsing equity environment early and kept exposure low. Layer 3 (high-conviction opportunity capture) identified and acted on a specific oversold reversal window — contributing to the visible surge seen in Q1 2022. The result: a Beta vs SPY of just 0.07, meaning the portfolio moved almost independently of the collapsing stock market.
Complete available history including the 2021 bull run, the 2022 bear market, and the 2023–2026 recovery. Calm Growth Model outperformed SPY in cumulative return while maintaining significantly lower drawdown throughout.
Backtest simulation · 2bps slippage · Fees included
Over the full ~6-year period (May 2020 → May 2026), Calm Growth Model returned approximately +172% vs SPY's +155% — roughly 17 percentage points ahead on cumulative return. At the same time, the maximum drawdown was about −5.9% vs SPY's −27%+ in 2022. This is a meaningful result: higher return and significantly lower worst-case loss over the same period.
The Calm Growth Model logic was recently refined (symphony uP4EOQmkexROiO18SaiN). The update improved both return and drawdown simultaneously: the 3-year max drawdown is −5.9%, the full-period max drawdown is −5.9% (under −6%), and the 3-year annualized return is 27%. All periods now show stronger risk-adjusted performance than prior versions.
The most compelling proof of the algorithm's downside protection came in 2022. While the S&P 500 had its worst calendar year since 2008, Calm Growth Model's bond-rotation logic generated a positive return. Investors who followed the signal avoided one of the most stressful market years in recent memory — and came out ahead.
| Metric | BLEE Calm Growth Model | S&P 500 (SPY) | Note |
|---|---|---|---|
| Full-Period Cumulative Return | ~+172% | ~+155% | +17pp ahead |
| Annualized Return | 18.3% | ~16% | +2.3pp/yr |
| Final Value ($10K start) | $27,197 | ~$25,500 | +$1,697 |
| Max Drawdown | −5.9% | −27%+ | 4.6× safer |
| Sharpe Ratio | 1.1 | ~0.9 | Better risk-adj. |
| Calmar Ratio | 3.4 | ~0.6 | 5.7× better |
| 2022 Calendar Year | +11.2% | −18.6% | Bear market edge |
| Total Slippage | Included (1bps) | — | — |
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Important Disclosure: All performance data on this page is generated from historical backtest simulations. Backtested results are hypothetical and were produced with the benefit of hindsight. They do not reflect actual trading, live account performance, or guaranteed future results. Return statistics shown are from algorithm logic applied to historical market data and include estimated fees and slippage. Actual results will differ based on execution timing, brokerage, account size, and market conditions at the time of trading. Investing involves risk, including the possible loss of all principal. This website does not constitute personalized investment advice.
BLEE Quant Analytics is an independent research service. It is not a registered investment adviser. Please consult a qualified financial advisor before making investment decisions.