All-Weather Low-Drawdown Portfolio
Uncorrelated AlphaTrading costs included
Survivorship-bias-free data
Portfolio
SPY buy & hold
Sharpe ratio?
1.91
+298%vs SPY 0.48
Best year?
+81.5%
3.0×SPY best: 27.0% in 2003
Max drawdown?
-14.5%
71% smallervs SPY -49.9%
What happened in every crash
| Crisis | Dates | Portfolio | SPY | Same $100k in |
|---|---|---|---|---|
| Dotcom crash | Mar 2000 – Oct 2002 | 197.8% | -41.8% | |
| 2008 financial crisis | Oct 2007 – Mar 2009 | 47.2% | -49.9% | |
| COVID-19 crash | Feb 2020 – Mar 2020 | -6.0% | -28.7% | |
| 2022 bear market | Jan 2022 – Oct 2022 | 13.1% | -21.3% |
Portfolio monthly returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | -0.3 | 7.3 | 6.2 | 6.6 | 8.7 | 1.0 | 2.3 | 5.4 | 2.2 | 8.8 | 7.8 | 5.5 | 81.5% |
| 2001 | 8.0 | 5.2 | 3.8 | -1.9 | 0.8 | 2.6 | 5.4 | 2.3 | 0.2 | 10.3 | 3.3 | 3.4 | 52.5% |
| 2002 | 3.1 | -1.6 | 3.2 | 4.1 | 1.7 | 0.9 | 1.3 | 1.8 | 3.3 | 4.5 | -0.6 | 2.0 | 26.2% |
| 2003 | 2.6 | 0.8 | 1.1 | 4.5 | 4.3 | 7.4 | 4.3 | 3.6 | -0.7 | 5.4 | 4.4 | 1.2 | 46.2% |
| 2004 | 0.4 | 3.8 | 1.8 | -0.3 | 1.1 | 2.0 | -0.7 | 0.8 | 1.3 | 2.0 | -0.7 | 3.1 | 15.4% |
| 2005 | -1.7 | 2.9 | 2.1 | 1.4 | 1.9 | 1.8 | 3.7 | -1.5 | 2.2 | -1.0 | 2.5 | 3.2 | 18.8% |
| 2006 | 4.2 | 2.3 | 3.6 | 2.7 | -2.4 | 2.3 | 2.0 | 2.8 | -0.1 | 3.8 | 1.6 | 2.2 | 27.7% |
| 2007 | 1.9 | -0.6 | 1.2 | 3.1 | 1.9 | 1.1 | 0.5 | 3.6 | 4.1 | 4.7 | 1.9 | 1.5 | 27.8% |
| 2008 | -8.2 | 2.4 | 3.2 | 3.6 | 5.1 | 1.5 | 2.0 | 1.2 | 12.3 | 2.9 | 1.6 | 7.4 | 39.7% |
| 2009 | 2.9 | -2.2 | -0.5 | 4.2 | 1.8 | 2.1 | -1.1 | 2.5 | 6.6 | -1.4 | 5.8 | 2.5 | 25.3% |
| 2010 | -4.2 | 4.3 | 4.6 | 1.5 | -1.9 | -1.2 | 1.5 | 2.3 | 1.1 | 3.2 | -1.5 | 5.0 | 15.1% |
| 2011 | -0.5 | 4.3 | 2.1 | 3.6 | 1.0 | -2.9 | 0.7 | -4.3 | 1.8 | 2.4 | 1.9 | 1.0 | 11.2% |
| 2012 | -1.0 | 1.0 | 1.4 | 0.3 | -0.9 | 3.3 | 2.0 | 1.1 | 2.0 | 0.7 | 0.8 | 0.8 | 12.0% |
| 2013 | 4.2 | 3.2 | 1.2 | 1.2 | -0.8 | 1.0 | 3.1 | 0.4 | 3.3 | 3.7 | 4.4 | 0.6 | 28.7% |
| 2014 | -1.5 | 2.7 | 0.9 | 3.3 | 1.3 | 1.2 | -0.5 | 2.5 | -1.1 | 0.5 | 2.3 | 2.1 | 14.3% |
| 2015 | 3.9 | 0.5 | 1.8 | -0.4 | 3.7 | 1.1 | 1.6 | -0.4 | 0.8 | -0.9 | 0.8 | 1.2 | 14.5% |
| 2016 | -0.9 | 1.8 | 0.4 | 0.3 | 0.6 | 3.9 | -0.6 | -1.5 | 0.2 | -1.5 | 0.9 | 3.7 | 7.1% |
| 2017 | 1.9 | 0.4 | -0.4 | 1.1 | 0.6 | 1.8 | 1.5 | 1.2 | 0.4 | 2.7 | -0.4 | 1.9 | 13.6% |
| 2018 | 3.4 | -3.9 | 1.2 | 1.6 | 3.7 | -0.2 | -0.1 | 1.9 | 0.2 | -4.8 | 1.6 | -1.7 | 2.4% |
| 2019 | -0.1 | 0.4 | 2.8 | 0.2 | -4.1 | 1.7 | 0.6 | 0.8 | 1.2 | 2.7 | 1.2 | 2.0 | 9.8% |
| 2020 | -1.0 | -3.7 | 3.3 | 5.1 | 4.0 | 11.3 | 6.6 | 3.3 | 1.5 | -5.1 | 7.5 | 4.7 | 42.7% |
| 2021 | -0.4 | 2.9 | 0.6 | 4.0 | 1.9 | 3.7 | 0.7 | 1.0 | -1.6 | 3.7 | 0.2 | 7.5 | 26.9% |
| 2022 | -2.2 | 4.4 | 5.8 | 1.4 | 2.2 | -3.7 | -0.6 | 1.7 | 2.4 | 1.9 | 5.4 | 1.8 | 22.3% |
| 2023 | 2.0 | 0.5 | 0.8 | 0.6 | -0.4 | 5.3 | 1.5 | -1.5 | -1.8 | -0.1 | -0.8 | 0.5 | 6.7% |
| 2024 | 1.3 | 7.4 | 3.9 | -1.9 | 3.0 | 1.4 | -0.1 | 2.9 | 2.1 | 0.8 | 2.5 | -0.8 | 24.6% |
| 2025 | 7.3 | -0.6 | -1.4 | -0.7 | -2.9 | 1.3 | 2.5 | 2.2 | 3.9 | 3.5 | -1.3 | 1.4 | 15.8% |
| 2026 | 4.5 | 4.8 | -3.8 | 0.1 | 3.9 | 2.1 | 7.3 | 3.3 | 0.6 | 24.7% |
Portfolio overview
Specification
SideLong & ShortAverage hold16 trading daysTrade frequency31.8 per monthDataNorgate Data (US Stocks Platinum)
SoftwareRealTestSPY benchmarkNo fees applied (favors SPY)
What you get
RealTest portfolio code (.rts)
Complete RealTest (.rts) portfolio code. Import, backtest, and modify.
Quick start & live trading
Quick start guide
From download to first backtest in 1 minute
1
You download the .rts file
Click download
2
You open it in RealTest
File → Open → Select file
3
You import symbols
Click import
4
You run the backtest
Click test
Daily live trading
For RealTest automated execution
1
Open OrderClerk
Click 'Connect to IB'
2
Import signals
Click 'Import' in RealTest
3
Generate orders
Click 'Orders' in RealTest
4
Execute trades
Click 'Place Orders'
What traders say
❝
Buying a SetupAlpha strategy didn't save me money, it saved me research time. I estimate it replaced 70–90 hours of development, debugging, and validation. Even if I never trade the strategy exactly as delivered, the research process was worth the investment.
Roman Blackwood
Founder of AI in Trading (+13K subscribers)
❝
I've been using a strategy from SetupAlpha and I'm really impressed with its elegance and stability. The unique approach gives me a fresh perspective and ideas I can apply to other strategies I'm developing. I'm currently working on integrating it into my suite of trading strategies.
TradeQuantiX
Multi-country systematic trader (+4.7K subscribers)
❝
I traded discretionary for over a decade and kept putting off going systematic because I did not know where to start. Having a finished, tested system to take apart was what finally got me moving.
Daniel
Crypto trader
❝
I have run it live since 2024 and it is still in my portfolio. It also changed how I test the systems I build myself.
Systematic Traders
Algo trader & Substack writer (+6.4K subscribers)
FAQ
What is All-Weather Low-Drawdown Portfolio?
What is RealTest and what software do I need?
RealTest is a backtesting and trade automation platform for systematic traders, built by Martin Parker at MHP Trading. Each strategy comes as an .rts file you import directly. To trade it live you add OrderClerk and an Interactive Brokers account.
How was this backtested?
Survivorship-free Norgate data from January 2000 to the present, with out-of-sample walk-forward analysis and over 1000 Monte Carlo simulations to test stability.
Are transaction costs included?
Yes. The results include Interactive Brokers commissions, so the equity curve is after costs.
When did live trading start?
See the equity curve for the live trading start date.
What's included in the download?
RealTest .rts file (complete source). Full documentation with parameter explanations.
How does it compare to SPY?
The chart at the top plots this strategy against SPY, the S&P 500 ETF, from 2000 with both starting at $100,000. A metrics table lists the exact numbers side by side: Sharpe, Sortino, net profit and worst year, for the strategy and for SPY over the same period.
Can I modify the code?
Yes. You get the complete source code with a perpetual license, so you can adjust parameters, change position sizing, combine it with other systems, or use it as a starting point for your own research.
What market data do I need?
Norgate Data (recommended) for survivorship-free US equities. Yahoo Finance works for basic testing but lacks delisted stocks. The backtest results shown here use Norgate Platinum.
Can I automate execution?
RealTest to OrderClerk to Interactive Brokers. Generate signals daily in RealTest, execute automatically via OrderClerk to IBKR. Setup course available.
Can I ask questions about the code or the strategy?
Yes. Email setupalpha.capital@gmail.com and you will get an answer, before or after you buy.
Portfolio growth since 2000
28,041.7%
SPY same period: 488.4%
$3,490one-time
Instant download
| Metric | Portfolio | SPY |
| Sharpe | 1.91 | 0.48 |
| ROR | 23.54% | – |
| Sortino | 1.99 | 0.45 |
| MAR | 1.62 | – |
| Net profit | $28.0M | $488k |
| Expectancy | 2.08% | – |
| Max exposure | 99.91% | 100% |
| Worst year | 2.4% | -33.2% |
Download the complete portfolio now
Active Script - C:\REALTEST\Strategies\all_weather_low_drawdown_portfolio.rts
All-Weather Low-Drawdown Portfolio
$3,490one-time
Instant download