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Question

What are the worst-case drawdowns for catalog strategies?

Catalog strategies ranked by WCDD₉₅ (95th-percentile worst-case drawdown magnitude across the curated case set).

Short answer

WCDD₉₅ across the catalog ranges from 58% (Buy and Hold S&P 500) at the high end to 7% at the low end. WCDD₉₅ is the 95th-percentile worst-case drawdown magnitude across the curated case set — 5% of cases produced drawdowns deeper than this.

Catalog strategies ranked by WCDD₉₅

StrategyAssetWCDD₉₅Overall score
Buy and Hold S&P 500SPY58%54 / 100
Buy and Hold BitcoinBTC56%53 / 100
RSI 30/70 Mean ReversionSPY45%50 / 100
RSI 30/70 Mean Reversion (BTC)BTC40%51 / 100
Bollinger Band BounceSPY23%53 / 100
EMA 12/26 Crossover (BTC)BTC21%50 / 100
SMA 200 CrossoverSPY19%54 / 100
MACD + RSI Confirmation (BTC)BTC18%49 / 100
SMA 200 Trend Following (GOLD)GOLD17%51 / 100
EMA 12/26 CrossoverSPY16%52 / 100
MACD Signal Line CrossoverSPY16%55 / 100
Supertrend StrategySPY14%58 / 100
RSI with SMA 200 Trend FilterSPY7%75 / 100

WCDD₉₅ is computed as the 95th-percentile of drawdown magnitudes across all replicas in the case set; max_drawdown is normalised via |·|. WCDD₉₅ is descriptive, not a probabilistic forecast.

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Data is sourced from the curated case set: 31 empirical anchors + 32 synthetic stress probes across 9 score buckets, V2 per-FM-bucket scoring with a-priori augmentation. See /methodology.

Programmatic access: POST /api/v1/agent/analyze · GET /api/v1/catalog/query · see /interop.