Top-decile sleeve P&L

Historical walk-forward backtest of the Framler top-decile sleeve. At each rebalance, the universe is sorted by composite score, the top 10% are bought equal-weighted, held for the forward window, then re-ranked. Compared against buy-and-hold SPY as a baseline. Survivorship- corrected (delisted tickers retain their final-day return). This is what Stockopedia and Zacks publish — same methodology, our universe and engine.

Annualised alpha vs SPY
+63.7%sleeve +63.7% · SPY +0.0%

Equity curve · 2022-07-012026-05-29

Top decileSPY
0.70×2.32×3.93×5.55×7.17×2022-072024-062026-05
Cumulative return
+587.2%
SPY: +0.0%
CAGR
+63.7%
SPY: +0.0%
Max drawdown
-19.9%
SPY: +0.0%
Sharpe (rf=0)
1.74
SPY: 0.00
Hit rate vs SPY
68%
SPY:
Rebalances
69
SPY:

Methodology

Walk-forward backtest. At each rebalance date, the engine scores the surviving universe using the live PRIOR_WEIGHTS factor weights (no future leakage), sorts descending, takes the top decile equal- weighted, and holds for the forward window. Forward return for each ticker comes from cached daily closes (apex_historical_prices). Sleeve return = arithmetic mean across the decile. SPY return for the same window is the baseline. Cumulative compounding starting from $1.

Refresh: weekly via backtest-weekly.yml GH Actions cron (Sun 04:00 UTC). Results persist to apex_backtest_runs.

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