🚀 Permanent Portfolio Max Aggressive: 12-Year QuantConnect Backtest Results

Trading and Markets
1

I am excited to share the long-term quantitative backtest results for the Permanent Portfolio Max Aggressive strategy, modeled in Python on the QuantConnect platform over a 3,896-day period (2014 – 2026).

The objective of this systematic approach is simple: capture aggressive capital growth while implementing robust risk controls to minimize drawdowns.

:bar_chart: QuantConnect Backtest Performance Highlights:

• CAGR: 20.1% annualized return • Max Drawdown: 12.8% • Sharpe Ratio: 1.1 • Sortino Ratio: 1.3 • Low Turnover & Low Beta: Efficient allocation with a controlled leverage profile (max ~1.0x)

:light_bulb: Detailed Backtest Report:

You can review the full QuantConnect backtest charts, drawdown analysis, and detailed return metrics in my recent LinkedIn update here:

:backhand_index_pointing_right: Permanent Portfolio | KAMEL DJEMILI

:link: Follow or subscribe to the live strategy on Collective2 here:

https://www.collective2.com/details/157369807

Feel free to reach out if you have any questions about the risk framework or execution!

2

Can you clarify the differences of the backtest results posted here and posted in the strategy description (below) ?

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Also the backtest which opens by the link from strategy description has 45.3% drawdown:

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3

Hi JITF,

Thank you for pointing that out!

To clarify:

  1. Different Strategies: The PDF/link you downloaded from the description refers to the US Stock Momentum strategy (which carries a higher risk profile and that 45.3% drawdown), whereas this post is specifically for the Permanent Portfolio Max Aggressive model.

  2. Description Update: The description on Collective2 is currently out of date. I am updating it shortly to avoid any confusion between the two models.

  3. Correct Backtest Report: To view the exact backtest and risk metrics for this Permanent Portfolio Max Aggressive strategy (CAGR 20.1%, Max DD 12.8%), please click on the PDF attached directly in my LinkedIn post linked above.

Feel free to ask if you have any other questions!

Best regards,

Kamel

4

I see, thank you for clarification!

So, US Stock Momentum is expected to deliver much less returns with higher risks now, right? Previously it had 66% CAGR and 17% drawdown shown in it’s description. Now (per your text above) it has 39.7% CAGR and 45.3% max drawdown.

You may also want to correct post title or new c2 strategy name to have them matching - your post is about Permanent Portfolio Max Aggressive and strategy linked in it is Diversified Assets.

5

For those who don’t have a LinkedIn account, you can access the backtest directly via this link: Microsoft OneDrive