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 57% (Buy and Hold Bitcoin) 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
| Strategy | Asset | WCDD₉₅ | Overall score |
|---|---|---|---|
| Buy and Hold Bitcoin | BTC | 57% | 53 / 100 |
| Buy and Hold S&P 500 | SPY | 51% | 59 / 100 |
| RSI 30/70 Mean Reversion (BTC) | BTC | 44% | 51 / 100 |
| RSI 30/70 Mean Reversion | SPY | 39% | 51 / 100 |
| EMA 12/26 Crossover (BTC) | BTC | 22% | 55 / 100 |
| SMA 200 Crossover | SPY | 21% | 51 / 100 |
| MACD + RSI Confirmation (BTC) | BTC | 19% | 50 / 100 |
| Bollinger Band Bounce | SPY | 18% | 60 / 100 |
| MACD Signal Line Crossover | SPY | 18% | 60 / 100 |
| SMA 200 Trend Following (GOLD) | GOLD | 18% | 51 / 100 |
| EMA 12/26 Crossover | SPY | 17% | 54 / 100 |
| Supertrend Strategy | SPY | 15% | 60 / 100 |
| RSI with SMA 200 Trend Filter | SPY | 7% | 76 / 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.