Strategy 01D1

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Structure and operation

The 01D1 strategy is the cornerstone of my strategies. It is the most stable and the most resilient in the face of market downturns. Its compound annual growth rate (CAGR) is 16.22%, with a standard deviation of 12.69% and a Sharpe ratio of 1.05 for the period 2018‑2025, based on backtests.

01D1 generates the lowest CAGR of my strategies, but it is the most stable and the most defensive. It does not experience spectacular rallies, but it accumulates gains steadily month after month and holds up better than all the others during market downturns.

  
      Performance (2018-2025)
      01D1
      S&P 500
    
      CAGR
      16.22%
      14.18%
    
      Standard Deviation
      12.69%
      16.49%
    
      Best Year
      28.93%
      31.33%
    
      Worst Year
      7.87%
      -18.23%
    
      Maximum Drawdown
      -14.26%
      -23.95%
    
      Sharpe Ratio
      1.05
      0.74
    
      Sortino Ratio
      2.22
      1.13
    
      Benchmark Correlation
      0.43
      1.00
    
      Positive Periods
      61/96
      65/96
    
      Gain/Loss Ratio
      1.54
      0.90
    
      Average Annual Turnover
      350%

Performance (2018-2025)	01D1	S&P 500
CAGR	16.22%	14.18%
Standard Deviation	12.69%	16.49%
Best Year	28.93%	31.33%
Worst Year	7.87%	-18.23%
Maximum Drawdown	-14.26%	-23.95%
Sharpe Ratio	1.05	0.74
Sortino Ratio	2.22	1.13
Benchmark Correlation	0.43	1.00
Positive Periods	61/96	65/96
Gain/Loss Ratio	1.54	0.90
Average Annual Turnover	350%

  
      Annual Returns
      01D1
      S&P 500
    
      2026-04-03
      11.95%
      -3.56%
    
      2025
      8.47%
      17.71%
    
      2024
      14.96%
      24.84%
    
      2023
      18.07%
      26.11%
    
      2022
      16.76%
      -18.23%
    
      2021
      24.85%
      28.53%
    
      2020
      11.52%
      18.25%
    
      2019
      28.93%
      33.31%
    
      2018
      7.87%
      -4.52%

Annual Returns	01D1	S&P 500
2026-04-03	11.95%	-3.56%
2025	8.47%	17.71%
2024	14.96%	24.84%
2023	18.07%	26.11%
2022	16.76%	-18.23%
2021	24.85%	28.53%
2020	11.52%	18.25%
2019	28.93%	33.31%
2018	7.87%	-4.52%

Behaviour during periods of crisis

In the first quarter of 2026, in the context of the war in Iran, the S&P 500 posted a return of −4%, while 01D1 gained 11%, a gap of 15% in three months. As of March 31, 2026, 01D1 held: COM, DBC and VGLT.

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In April 2025, following the announcement of Trump's tariffs in the United States, the S&P 500 had dropped −14%, while 01D1 showed a return of 0%.

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For the year 2022, while the S&P 500 finished with a loss of −18%, 01D1 generated a positive return of 17%. The chart below illustrates the daily returns and the fluctuation of those returns for 01D1 and the American index and shows how non-linear the progression was.

This asset rotation shows how a portfolio can find itself in very different positions as market movements and trend changes unfold. The principle of trend following does not seek to predict the future direction of markets — it simply retains the strongest assets for a given period.

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Origin of the strategy

The 01D1 strategy is built from ETFs drawn from a long-term portfolio model developed by the founder of one of the most well-known hedge funds in the United States.

Since my instinct is to systematize any investment proposal, I wanted to verify whether it was possible to outperform that model portfolio by placing those ETFs within a momentum time framework.

By exploring different parameters and repositioning the ETFs in various configurations, I ultimately achieved a superior return accompanied by increased stability. The performances shown in the tables result from this finely orchestrated set of rules.