25-Year Backtest vs 10-Month Live: 0% Leverage Momentum Strategy (+102% Live)

C2
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Hello C2 Community,

I wanted to share some deep-dive data regarding my strategy US Stock Momemtum. While the live track record on C2 is now reaching its 10-month milestone with a +102% return and 16% Max Drawdown, I believe it’s crucial for potential followers to understand the long-term robustness behind these numbers.

The Logic: This is a systematic, unleveraged “Smart Beta” model. It selects the top 10 momentum stocks from the S&P 500 with a monthly rebalancing frequency. No complex hedging, no dangerous leverage—just pure relative strength.

The Evidence (1998 - 2026): To ensure this model could survive environments like the 2000 dot-com bubble, the 2008 financial crisis, and the 2020 crash, I ran an institutional-grade backtest on QuantConnect.

Key Backtest Stats (Since 1998):

  • CAGR: 66%

  • Max Drawdown: 17%

  • Sortino Ratio: 6.2

  • Slippage Model: Integrated (realistic execution)

The live performance on Collective2 is currently tracking the upper end of our historical expectations. Because the strategy rebalances only once a month, slippage for followers is near zero, making it highly scalable for larger accounts.

Full Audit Report (PDF): You can review the detailed QuantConnect equity curve and risk metrics. I cannot post external links here, but the full QuantConnect Audit Report is linked directly in my Strategy Description page. Look for the ‘Full Audit Report’ section.

I am committed to transparency and plan to reach the 1-year live milestone shortly. To reflect the maturity of the system, the subscription price will adjust from $59 to $99 on June 1st, 2026 for new subscribers.

Happy to answer any technical questions about the methodology!

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Can you share the backtest of the model which is traded on C2 account? Link in the description references the different model with the different system results.

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Is your drawdown number based on monthly, weekly, or daily drawdowns? The results look great. For this size account you should charge more. Maybe split the size to attract more subscribers.

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Thanks for the feedback! I really appreciate the suggestion regarding the pricing and account splitting—it’s definitely something I’m considering as we scale.

To answer your question about the risk: The drawdown figures I share are based on intra-day data.

I believe this is the most transparent way to report performance. While many managers only show ‘End of Day’ or ‘Monthly’ drawdowns (which can hide a lot of volatility that happened during the session), I track every peak-to-trough movement in real-time. It gives you a much more realistic view of the ‘heat’ the account actually takes.

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Interesting strategy. Couple questions…

On the backtest, I noticed in the financial crisis it went flat for many months (not invested). What is the system’s reasoning for that?

This goes along with recent sales on 3/24 and moving to cash. What typically causes this?

I can see you weight your 10 holdings. I assume that’s based on momentum? (also you misspelled momentum):wink:

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