Backtest methodology

Reported backtest figures are derived from a daily historical simulation of each strategy over its stated sample period, using historical market data for the instruments traded. Each simulated trading day applies the same signal, sizing, entry, and exit logic used in live operation. Trades are simulated at historical quotes with a conservative fill convention — sales filled at the bid and purchases at the ask — and with transaction costs and exchange/contract fees deducted on every leg; NAV is struck at the close. Position sizes are generated by the same Value-at-Risk-based engine (Strategies 1–3) or fixed NAV-proportional rule (Strategy 4) described above, so simulated exposure scales with the modelled book exactly as it would live.

The simulation does not model real-world frictions that affect live results, including market impact and partial or missed fills, intraday liquidity gaps, quote staleness or data errors, borrowing/financing effects, and the divergence that arises because a client executes independently of the model. Backtested results are hypothetical: they are produced with the benefit of hindsight, do not represent actual trading, and do not reflect the effect of material market or economic factors on real decisions. Past or simulated performance is not a reliable indicator of future results, and live results will differ — potentially materially — from any figure shown here. All figures below are stated gross of any management or performance fees charged by a distributing firm.