📈 Real, total-return prices
Adjusted close (dividends reinvested) from a licensed feed (EODHD) with Warsaw + US + EU coverage, and a keyless fallback (Yahoo). Using price-only data would understate dividend payers — we don't.
methodology · nothing hidden
How the numbers are made
Every track record on this site is a simulated backtest — the strategy's fixed rules re-run on real historical data. Here's exactly how, including the limitations. A track record is a legal artifact for us: overstating it would be fraud, so we'd rather under-promise and show our work.
🕰️ Point-in-time universe
The backtest sees each index as it actually was on each date (Nasdaq-100, WIG20 with dated add/drop history) — no "we knew the winners in advance" survivorship. On the licensed feed, names that later delisted are still priced and included, closing the survivorship gap on the price side.
💸 Realistic, per-market costs
Turnover is charged on every monthly rebalance at the conservative end of a typical half-spread + fees — see the table. Market impact and FX aren't modelled (negligible at retail size).
🔁 Monthly rebalance, weights drift
Positions are set monthly and left to drift with prices in between (position-value method) — exactly what a subscriber following the update would experience.
Transaction costs, per market
| Market | Cost per rebalance turnover | Why |
|---|---|---|
| US (NYSE / Nasdaq) | 5 bps | Deepest liquidity, tightest spreads |
| EU (XETRA / Euronext) | 10 bps | Slightly wider spreads / fees |
| Poland (GPW) | 20 bps | Thinner books; costed conservatively |
Risk-free (cash) rate for Sharpe & Sortino: 3%/yr — roughly the average US T-bill yield over the backtest window. A higher assumed cash rate makes the ratios LOOK worse, so this is the non-flattering choice.
What each number means
| Metric | In plain words |
|---|---|
| CAGR | Average yearly growth, compounding included. 12% ≈ it grew about 12% a year. |
| Sharpe | Return per unit of total wobble. Higher = a smoother ride for the same gain; above 1 is solid. |
| Sortino | Like Sharpe but only counts DOWNSIDE wobble (upside jumps aren't "risk"). Uses target semideviation. |
| Volatility | How much the value swings, annualised. Measures wiggle, not direction. |
| Max drawdown | The single worst peak-to-trough fall in the whole record — the number your stomach feels. |
| Calmar | Yearly growth ÷ that worst fall. "Was the pain worth it?" |
Known limitations (the small print)
- The EU sleeve and WIG20's most recent quarters aren't yet full point-in-time membership.
- On the keyless fallback feed, some delisted names are unpriced and dropped, which can flatter drawdowns. The licensed feed closes this.
- Forward-fill over market holidays slightly understates measured volatility.
- Rebalances are simulated at the same close the signal is computed from; a live follower trades at the next session's prices, so results may differ from next-bar execution.
- A few long-delisted tickers may still be unresolved.
- Short backtest windows exaggerate results in both directions — always read a track record against its FULL history, not a lucky year (the strategy pages have a window slider that shows exactly this).
We're a publisher, not an adviser.
Every strategy publishes ONE model-portfolio update, identical for every subscriber, generated systematically — never personalised, never a signal to buy or sell, and we never place or manage trades. You decide and trade in your own account. See the strategies → · Verify the ledger →
This is published market information, not investment advice and not a personal recommendation. Allocations are generated systematically and are the same for every subscriber. You decide and trade in your own account.