The strategy is designed to manage exposure across market regimes. Its objective is not constant outperformance, but reduced drawdowns and more stable long-term compounding. Periods of relative outperformance typically emerge during market stress and are preserved during subsequent expansions.

In-Sample Testing

Period: 22 Jun 2006 – 31 Dec 2016

This phase represents the model’s performance during the development and optimization window.

Figure 1: Relative performance of the 2boost strategy versus a SPY buy-and-hold benchmark.
MetricValue
CAGR11.54%
Volatility15.79%
Sharpe Ratio0.77
Maximum Drawdown-24.04%
Final Multiple3.15×
Table 1: Summary performance metrics corresponding to the performance window shown above.

Out-of-Sample Testing

Period: 01 Jan 2017 – 31 Dec 2024

To prevent curve-fitting, we tested the model on unseen data from future cycles.

Figure 2: Relative performance of the 2boost strategy versus a SPY buy-and-hold benchmark.
MetricValue
CAGR14.56%
Volatility16.22%
Sharpe Ratio0.92
Maximum Drawdown-26.33%
Final Multiple9.43×
Table 2: Summary performance metrics corresponding to the performance window shown above.

Disclaimer: Backtests are based on historical data and assume ideal execution conditions. Real-world results may differ due to market conditions, liquidity, and execution constraints.

Scroll to Top