backtest
Small-cap portfolio backtest (2y)
Max-6 portfolio sim on momentum_spec vs breakout_rr on a 13-name research list. Returns as ±% only; names blurred.
Universe: 13 small / mid research names (, , , …)
Window: 2024-01-01 · period 2y · risk 1.0%/trade · rising_edge=True
momentum_spec portfolio
- Total +57.26% · CAGR 18.93% · MDD −6.41%
- Trades 173 · win 51.45% · exp_R 0.2789 · total_R 48.24
- Exits: stop 69 · target 77 · time 22
Leaders by total R: , , , . Several names negative — high dispersion in a narrow list.
breakout_rr portfolio (same caps)
- Total +82.44% · CAGR 25.89% · MDD −6.72%
- Trades 164 · win 48.17% · exp_R 0.3795 · total_R 62.24
- Exits: stop 83 · target 71 · time 4
Breakout book won on this 2y small-cap panel with similar drawdown depth.
Caveat
Thirteen names is not a tradable universe — it is a research panel for comparing setup engines on volatile small caps. Do not extrapolate to live capital. Starting equity is omitted on purpose.
Source
Summarized from state/reports/momentum_port_bt_20260814_080301.md.