Diversified Assets
- hypothetical · Cumul. Return
- -14.1%
- Max Drawdown
- 14.1%
- Trades
- 5
- Win Trades
- 0.0%
- Profit Factor
- 0
- Win Months
- 0.0%
About this strategy
The Permanent Portfolio Max is a systematic macro strategy designed to adapt across different economic regimes. Building upon the traditional Permanent Portfolio framework, the model dynamically adjusts asset allocations, aiming to balance growth objectives with systematic risk management.
Key Features:
Dynamic Macro Allocation: Replaces static fixed-income allocations with dynamic, risk-managed portfolio adjustments.
Low Turnover: Designed with a monthly rebalancing structure to help reduce execution friction and trading frequency.
Systematic Risk Management: Applies predefined, rule-based exposure adjustments during periods of heightened market stress.
Historical Backtest Metrics (QuantConnect Simulation, 2014–2026):
Compound Annual Growth Rate (CAGR): 20.1%
Historical Max Drawdown: -12.8%
Sharpe Ratio: 1.1
Sortino Ratio: 1.3
Backtesting data is hypothetical and it has not been verified by C2.
Key Features:
Dynamic Macro Allocation: Replaces static fixed-income allocations with dynamic, risk-managed portfolio adjustments.
Low Turnover: Designed with a monthly rebalancing structure to help reduce execution friction and trading frequency.
Systematic Risk Management: Applies predefined, rule-based exposure adjustments during periods of heightened market stress.
Historical Backtest Metrics (QuantConnect Simulation, 2014–2026):
Compound Annual Growth Rate (CAGR): 20.1%
Historical Max Drawdown: -12.8%
Sharpe Ratio: 1.1
Sortino Ratio: 1.3
Backtesting data is hypothetical and it has not been verified by C2.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -2.7 | -1.6 | -9.0 | -1.4 | -14.1 |
Statistics
Overview
| Strategy began | 8/24/2026 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 80 days |
| C2 Rank | 940 |
| Rank at C2 % | Top 6.0% |
| Rank # | #264 |
| What it trades | Stocks |
| # Trades | 5 |
| # Profitable | 0 |
| % Profitable | 0.0% |
| Avg trade duration | 48.5 days |
| Max peak-to-valley drawdown | 14.1% |
| drawdown period | Aug 26, 2026 - Nov 05, 2026 |
| Cumul. Return | -14.1% |
| Avg win | $0 |
| Avg loss | $229 |
Ratios
| W:L ratio | 0.01 |
|---|---|
| Sharpe Ratio | -3.58 |
| Sortino Ratio | -4.06 |
| Calmar Ratio | -3.50 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.63 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | -0.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -13.3% |
Return Statistics
| Ann Return (w trading costs) | -48.6% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -42.5% |
Slump
| Current Slump as Pcnt Equity | 15.7% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 0.5% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 754 |
| C2 Score | 940 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $235 |
|---|---|
| Avg Win | $0 |
| # Winners | 0 |
| Sum Trade PL (losers) | $1,174 |
| Sum Trade PL (winners) | $0 |
| Num Months Winners | 0 |
| # Losers | 5 |
| % Winners | 0.0% |
Dividends
| Dividends Received in Model Acct | 7 |
|---|
Age
| Num Months filled monthly returns table | 4 |
|---|
Frequency
| Avg Position Time (mins) | 69836.80 |
|---|---|
| Avg Position Time (hrs) | 1163.95 |
| Avg Trade Length | 48.50 |
| Last Trade Ago | 44 |
Leverage
| Daily leverage (average) | 1.04 |
|---|---|
| Daily leverage (max) | 1.99 |
Regression
| Alpha | -0.17 |
|---|---|
| Beta | 0.63 |
| Treynor Index | -0.28 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.04 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | — |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -1.23 |
| MAE:PL (avg, all trades) | -1.19 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | — |
| Avg(MAE) / Avg(PL) - Losing trades | -1.23 |
| Hold-and-Hope Ratio | -0.76 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | -0.53 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.02 |
DRAW DOWN STATISTICS
| Strat Max DD how much worse than SP500 max DD during strat life? | -1065239232 |
|---|---|
| Max Equity Drawdown (num days) | 71 |
| Last 4 Months - Pcnt Negative | 1.0% |
Trading record
Placed 3 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| GLD | long | 23 | Aug 24, 2026 | Aug 24, 2026 | ($0) |
| SPY | long | 13 | Aug 24, 2026 | Aug 24, 2026 | ($1) |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.