Replicated and updated every trading day · 2026-11-10
Famous strategies, replicated
22 well-known portfolios and rule sets, re-run on the same ten markets (stocks, gold, silver, oil, gas, commodities, agriculture, EUR/USD, Bitcoin, Ether) under one rule set, from 2010-01-04 to 2026-11-10. Every page says what is the real rule and what we had to change.
How close is each one to the original?
Short answer: none of these is the real fund or the real portfolio. We have ten markets, no bond data and no futures, so each replica is labelled by how much of the original survives.
Rule as published5Rule as published
The published rule is applied as written, on the instrument we have (for example SPY instead of an index). Thresholds may still vary between editions.
Adapted14Adapted
Part of the original is missing: instruments, bonds, shorts, position sizing or stock selection. The page lists exactly what is lost.
Our interpretation3Our interpretation
The originator never published a numeric rule. The parameters are ours, an illustration of the idea, not a replica.
Bonds: held as cash. We have no bond data, so wherever an original allocation holds bonds (6 of these strategies) that sleeve is cash earning 0%. That removes coupon income and the gains bonds made in equity sell-offs, and the losses they made in 2022, so results can be lower or higher than the real thing.
One rule set for everyone
- Results are before trading costs, taxes and fund fees; cash earns 0%.
- A position decided at a close earns the next day's return; indicators use closes up to that day only.
- Markets: SPY, GLD, SLV, USO, UNG, DBC, DBA, EUR/USD, BTC-USD, ETH-USD. Fixed-weight portfolios start when all their assets have data; weights drift between rebalances.
- Rules and weights are given as commonly cited. We have not re-checked them against the primary texts: read the source before relying on any detail.
All strategies, ranked by Sharpe ratio
| Weinstein 30-Week MA Stage Analysis | Stan Weinstein | Trend following | +13.8% | 1.28 | -15.5% | +18.4% | Adapted |
| Mayer Multiple (BTC price / 200-day MA < 2.4) | Trace Mayer | Crypto | +62.9% | 1.09 | -78.7% | -30.5% | Our interpretation |
| Clenow Trend Following (50/100 MA + 50-day breakout) | Andreas Clenow | Trend following | +5.5% | 1.09 | -8.9% | -2.2% | Adapted |
| Turtle Trading System 2 (long-only) | Richard Dennis & William Eckhardt (rules published by Curtis Faith) | Trend following | +8.0% | 0.99 | -13.6% | +10.8% | Adapted |
| Golden Butterfly Portfolio | Tyler of Portfolio Charts | Asset allocation | +7.5% | 0.97 | -14.6% | +4.4% | Adapted |
| Bitcoin HODL | Anonymous BitcoinTalk poster 'GameKyuubi' (originator of the term) | Crypto | +52.0% | 0.97 | -83.4% | -30.5% | Rule as published |
| Turtle Trading System 1 (long-only) | Richard Dennis & William Eckhardt (rules published by Curtis Faith) | Trend following | +8.3% | 0.96 | -15.9% | +8.9% | Adapted |
| Volatility-Managed SPY (10% target) | Alan Moreira & Tyler Muir | Asset allocation | +9.6% | 0.95 | -12.8% | +4.2% | Adapted |
| Harry Browne Permanent Portfolio | Harry Browne | Asset allocation | +5.8% | 0.93 | -10.3% | +2.7% | Adapted |
| Paul Tudor Jones 200-Day Moving Average | Paul Tudor Jones | Trend following | +10.5% | 0.91 | -19.8% | +6.7% | Our interpretation |
| Ray Dalio All Weather (public approximation) | Ray Dalio / Bridgewater | Asset allocation | +5.3% | 0.89 | -12.5% | +6.2% | Adapted |
| Classic 60/40 (as SPY/cash) | Industry convention, no single originator | Asset allocation | +8.5% | 0.86 | -20.6% | +6.7% | Adapted |
| Buffett 90/10 Portfolio | Warren Buffett | Asset allocation | +12.5% | 0.85 | -30.5% | +10.1% | Adapted |
| O'Neil 52-Week-High Breakout with 8% Stop | William J. O'Neil | Momentum | +10.1% | 0.85 | -26.5% | +7.5% | Adapted |
| Bogle Buy-and-Hold Index Fund | John C. Bogle | Asset allocation | +13.8% | 0.85 | -33.7% | +11.2% | Rule as published |
| 12-Month Time-Series Momentum (10 markets) | Tobias Moskowitz, Yao Hua Ooi, Lasse Pedersen | Momentum | +8.6% | 0.78 | -21.4% | +4.8% | Adapted |
| Livermore Pivotal-Point Breakout (simplified) | Jesse Livermore | Trend following | +5.7% | 0.76 | -23.8% | +8.2% | Our interpretation |
| Antonacci Dual Momentum (SPY vs cash only) | Gary Antonacci | Momentum | +10.7% | 0.72 | -33.7% | +11.2% | Adapted |
| Faber 10-Month SMA Timing (GTAA) | Mebane Faber | Trend following | +5.8% | 0.71 | -16.3% | +11.8% | Adapted |
| Connors RSI(2) Pullback | Larry Connors & Cesar Alvarez | Mean reversion | +4.3% | 0.68 | -14.7% | +12.9% | Rule as published |
| Halloween Indicator (Sell in May) | Sven Bouman & Ben Jacobsen | Calendar effects | +7.7% | 0.65 | -33.7% | +5.2% | Rule as published |
| Turn-of-the-Month Effect | Josef Lakonishok & Edwin Smidt | Calendar effects | +3.3% | 0.49 | -13.8% | +12.8% | Rule as published |
Click a column heading to sort. Each row covers its own period (see its page), so rows are not directly comparable when the start dates differ. Before costs. Sharpe, drawdown and returns are in-sample descriptions, not forecasts. Historical, hypothetical results before costs. Not investment advice.
By category
Asset allocation
AdaptedRay Dalio All Weather (public approximation)Ray Dalio / BridgewaterDalio's risk-balanced portfolio is the best-known 'any economic environment' allocation.CAGR +5.3% · Sharpe 0.89 · max drawdown -12.5%AdaptedHarry Browne Permanent PortfolioHarry BrowneA classic four-season portfolio designed to survive prosperity, inflation, deflation and recession.CAGR +5.8% · Sharpe 0.93 · max drawdown -10.3%AdaptedBuffett 90/10 PortfolioWarren BuffettBuffett's own stated recommendation for ordinary investors' retirement money.CAGR +12.5% · Sharpe 0.85 · max drawdown -30.5%AdaptedClassic 60/40 (as SPY/cash)Industry convention, no single originatorThe default balanced benchmark that most pension and advisor portfolios are measured against.CAGR +8.5% · Sharpe 0.86 · max drawdown -20.6%AdaptedGolden Butterfly PortfolioTyler of Portfolio ChartsA popular Permanent Portfolio variant with a stock tilt that became a staple of the 'lazy portfolio' community.CAGR +7.5% · Sharpe 0.97 · max drawdown -14.6%Rule as publishedBogle Buy-and-Hold Index FundJohn C. BogleBogle founded Vanguard and the first index fund, making buy-and-hold the benchmark every other strategy is judged against.CAGR +13.8% · Sharpe 0.85 · max drawdown -33.7%AdaptedVolatility-Managed SPY (10% target)Alan Moreira & Tyler MuirA highly cited paper showing that risk scaling beats plain buy-and-hold, the basis of risk-managed funds.CAGR +9.6% · Sharpe 0.95 · max drawdown -12.8%
Trend following
AdaptedFaber 10-Month SMA Timing (GTAA)Mebane FaberThe most-downloaded tactical allocation paper and the basis of the 'timing' wave in ETF investing.CAGR +5.8% · Sharpe 0.71 · max drawdown -16.3%AdaptedTurtle Trading System 1 (long-only)Richard Dennis & William Eckhardt (rules published by Curtis Faith)The Turtles' story, in which Dennis trained novices into a hugely profitable trend-following team, is the most famous experiment in trading.CAGR +8.3% · Sharpe 0.96 · max drawdown -15.9%AdaptedTurtle Trading System 2 (long-only)Richard Dennis & William Eckhardt (rules published by Curtis Faith)The slower sibling of the famous Turtle experiment: fewer trades, longer trends.CAGR +8.0% · Sharpe 0.99 · max drawdown -13.6%Our interpretationLivermore Pivotal-Point Breakout (simplified)Jesse LivermoreLivermore is the archetypal speculator whose boom-and-bust life inspired generations of traders.CAGR +5.7% · Sharpe 0.76 · max drawdown -23.8%Our interpretationPaul Tudor Jones 200-Day Moving AveragePaul Tudor JonesA legendary macro trader's own simple line in the sand, repeated constantly in trading circles.CAGR +10.5% · Sharpe 0.91 · max drawdown -19.8%AdaptedWeinstein 30-Week MA Stage AnalysisStan WeinsteinWeinstein's four-stage framework is one of the most widely taught chart-based trend methods.CAGR +13.8% · Sharpe 1.28 · max drawdown -15.5%AdaptedClenow Trend Following (50/100 MA + 50-day breakout)Andreas ClenowA modern, openly documented description of how managed-futures funds trade trends.CAGR +5.5% · Sharpe 1.09 · max drawdown -8.9%
Momentum
AdaptedAntonacci Dual Momentum (SPY vs cash only)Gary AntonacciA rigorous, evidence-based rotation model that made 'dual momentum' a household phrase among systematic investors.CAGR +10.7% · Sharpe 0.72 · max drawdown -33.7%AdaptedO'Neil 52-Week-High Breakout with 8% StopWilliam J. O'NeilCAN SLIM made 'buy new highs, cut losses at 8%' a mantra for growth investors.CAGR +10.1% · Sharpe 0.85 · max drawdown -26.5%Adapted12-Month Time-Series Momentum (10 markets)Tobias Moskowitz, Yao Hua Ooi, Lasse PedersenThe paper that established time-series momentum as a cross-asset premium and underpins CTA trend following.CAGR +8.6% · Sharpe 0.78 · max drawdown -21.4%
Mean reversion
Calendar effects
Rule as publishedHalloween Indicator (Sell in May)Sven Bouman & Ben JacobsenThe origin of the 'Sell in May and go away' market proverb, with academic backing.CAGR +7.7% · Sharpe 0.65 · max drawdown -33.7%Rule as publishedTurn-of-the-Month EffectJosef Lakonishok & Edwin SmidtA founding academic paper on calendar anomalies, now a standard reference in seasonality research.CAGR +3.3% · Sharpe 0.49 · max drawdown -13.8%
Crypto
Rule as publishedBitcoin HODLAnonymous BitcoinTalk poster 'GameKyuubi' (originator of the term)The crypto community's defining mantra and the benchmark every crypto strategy has to beat.CAGR +52.0% · Sharpe 0.97 · max drawdown -83.4%Our interpretationMayer Multiple (BTC price / 200-day MA < 2.4)Trace MayerThe best-known simple valuation gauge for bitcoin tops and bottoms.CAGR +62.9% · Sharpe 1.09 · max drawdown -78.7%
Historical, hypothetical results before costs. Not investment advice.