Retired, 66 portfolio 28

user Retiree at 66 · defined 2026-10-02 18:49 · an example: a common Canadian account mix in retirement (made-up figures); optimized for income · every portfolio

Optimized for income

made 2026-10-02 18:49 by 4_book.py · objective: largest withdrawal at the book's ruin, over 30 years, raised 2% a year, at 5% risk of ruin · 2003-01-02 .. 2026-09-25

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Which runs passed

23 candidates · 4 held

primary: every usable DONE run → grade_min B: 29 → exclude 870: 28

23 candidates after the rest of the screens (crypto, the same curve twice, shorting, the window, the quick build's); 4 held · probability of backtest overfitting over the candidates 21.76%

Figures

2003-01-02 .. 2026-09-25

withdrawal 39,759/yr at 5.00% ruininvested 549,100 on 549,100 of capital (no margin)primary: 4 strategies, 100.00% of the portfolio

CAGR

13.42%

2003-01-02 → 2026-09-25 (23.7 years)

Sortino

1.456

daily, target 0

Max drawdown

30.54%

2020-02-20 → 2020-03-23, recovered 2020-08-04

Total return

1883.56%

549,100 → 10,891,732 undefined

Sharpe

1.049

risk-free 0

Volatility

12.78%

annualized, daily returns

Calmar

0.439

CAGR / max drawdown

Longest under water

833 days

2008-06-18 → 2010-09-29

Best year

37.79%

2025

Worst year

-15.41%

2008

Positive months

68.42%

of 285

2003-01-02 549,100 → 2026-09-25 10,891,732 · log scale · 6085 days · hover or use the arrow keys for values

Drawdown: the fall below the highest value reached so far. Worst 30.54% below its peak, from 2020-02-20 to 2020-03-23, back to that peak 2020-08-04 (166 days from the peak) · 1.96% below its peak on the last day

30-year Monte Carlo

the withdrawal and the spread of wealth

Safe withdrawal, 5.0% ruin

39,758/yr

7.2% of 549,100, raised 2.0% a year; ruin 5.0%

Same, never raised

47,232/yr

8.6% of 549,100, flat; ruin 5.0%

Median wealth, year 30

8,529,431

paying the raised withdrawal

5th percentile, year 30

214

paying the raised withdrawal

Ruin with no withdrawal

0.0%

paths that reach zero on returns alone

History sampled

284 months

2003-02 → 2026-09

By year, log scale (under 10,000, ruin included, sits on the floor) · line median, dashed 5th percentile, bands 25th–75th and 5th–95th · hover or use the arrow keys for values

The chart is wealth while paying 39,758 a year raised 2.0% yearly. 2,000 paths of 30 years, each built from 12-month blocks of the portfolio's own monthly returns (2003-02 → 2026-09), drawn at random. A withdrawal is taken at the start of each month; ruin is a path that cannot pay one in full. The 2.0% inflation is a guess (the Bank of Canada's target), not a measured rate. 30 years are drawn from 23.7 years of history, so the same years recur within a path. The portfolio's weights were fitted to this same history, so every figure here leans optimistic.

Walk-forward

the years the weights never saw

The whole selection (ratings, admission and the fit) rerun on each training window's data alone, then frozen and scored on the years after it, beside equal weights over that window's candidates. Reconstruction: only variations registered before the split. Retrospective: every variation, a test of the choosing procedure, not evidence those variations existed then. The held-out figure is the one to compare portfolios by.

Mode	Fitted On	Withdrawal	CAGR	Max DD	Held Out	Withdrawal	CAGR	Max DD	Equal Weights: Withdrawal	CAGR	Max DD
reconstruction	2003-01-02 .. 2012-12-31	skipped: no variation was registered before 2013-01-01 (the first was registered 2026-09-27)
retrospective	2003-01-02 .. 2012-12-31	8.59%	17.15%	24.00%	2013-01-02 .. 2019-12-31	0.51%	-4.39%	45.36%	2.31%	1.35%	12.10%
reconstruction	2003-01-02 .. 2019-12-31	skipped: no variation was registered before 2020-01-01 (the first was registered 2026-09-27)
retrospective	2003-01-02 .. 2019-12-31	5.06%	8.24%	26.38%	2020-01-02 .. 2026-09-25	7.85%	14.10%	29.20%	7.95%	14.25%	27.22%

Withdrawal: a year, as a share of the start, from that window's own monthly returns.

Strategies

10 rows

Weight and amount are the portfolio's; tier is primary (drives the portfolio) or secondary (added around them); every other column is the held run as this portfolio copied it, measured in that run's currency over its whole curve. Each strategy is shown at the version the run used. "family X" marks holdings that are variations of each other in one currency (only portfolio settings differ): 1 such group.

Strategy	Market	Tier	Weight ▼	Amount	Run	Status	Grade	CAGR	Sortino	Max DD	Total Return	Sharpe	Volatility	Calmar	Under Water Days	Best Year	Worst Year	Positive Months	Fills	Fees
clear	all CADUSD	all primarysecondary				all DONE	all ABCD–
Sector rotation with dual momentum v1	CAD	primary	0.2627	144,240	8895	DONE	B	12.83%	1.220	36.90%	1655.51%	0.889	14.84%	0.348	1,777	43.58% (2025)	-18.83% (2008)	67.02%	764	221,735
Asset Class Momentum Selects ETFs in different asset classes with the highest momentum and assigns an equal... v1	CAD	primary	0.1926	105,760	7548	DONE	B	9.64%	1.348	24.00%	788.74%	0.972	9.99%	0.402	720	30.98% (2025)	-10.54% (2022)	67.37%	780	124,571
Sector rotation with dual momentum v1	CAD	primary	0.0998	54,811	8895	DONE	B	12.83%	1.220	36.90%	1655.51%	0.889	14.84%	0.348	1,777	43.58% (2025)	-18.83% (2008)	67.02%	764	221,735
Sector rotation with dual momentum v1	CAD	primary	0.0946	51,926	8895	DONE	B	12.83%	1.220	36.90%	1655.51%	0.889	14.84%	0.348	1,777	43.58% (2025)	-18.83% (2008)	67.02%	764	221,735
Asset Class Momentum Selects ETFs in different asset classes with the highest momentum and assigns an equal... v1	CAD	primary	0.0732	40,189	7548	DONE	B	9.64%	1.348	24.00%	788.74%	0.972	9.99%	0.402	720	30.98% (2025)	-10.54% (2022)	67.37%	780	124,571
Asset Class Momentum Selects ETFs in different asset classes with the highest momentum and assigns an equal... v1	CAD	primary	0.0693	38,074	7548	DONE	B	9.64%	1.348	24.00%	788.74%	0.972	9.99%	0.402	720	30.98% (2025)	-10.54% (2022)	67.37%	780	124,571
Thesis: An even split of shares put back to even once a year family A v1	USD	primary	0.0607	33,340	9496	DONE	B	19.88%	1.225	55.34%	7282.31%	0.847	25.12%	0.359	887	76.55% (2023)	-41.82% (2008)	61.75%	1,233	70,577
Sector rotation with dual momentum v1	CAD	primary	0.0578	31,733	8895	DONE	B	12.83%	1.220	36.90%	1655.51%	0.889	14.84%	0.348	1,777	43.58% (2025)	-18.83% (2008)	67.02%	764	221,735
Thesis: There is a best gap between one evening up and the next family A v1	USD	primary	0.0469	25,760	9532	DONE	B	20.67%	1.203	65.11%	8529.23%	0.834	26.88%	0.317	1,160	70.30% (2009)	-49.92% (2008)	63.16%	8,415	343,640
Asset Class Momentum Selects ETFs in different asset classes with the highest momentum and assigns an equal... v1	CAD	primary	0.0424	23,267	7548	DONE	B	9.64%	1.348	24.00%	788.74%	0.972	9.99%	0.402	720	30.98% (2025)	-10.54% (2022)	67.37%	780	124,571

Contribution

what each strategy adds

Rating 6 (STRATEGY-RATINGS.md §5.2): what each strategy adds to this portfolio's withdrawal — the portfolio re-optimized without it, in every account it is held in. It belongs to this portfolio and means nothing outside it. Raw: the curves as they ran. Conservative: the portfolio fitted again with 25% of each run's alpha over its index kept; a strategy only that fit holds is a near-miss. A strategy a fit does not hold adds 0 to it. The band is the 90% range over paired resamples of the simulated paths: a difference inside it is not a ranking. Cluster: the strategies whose daily returns correlate 0.9 or more with it (it included), removed together.

Strategy	Market	Held	Raw [90% Band]	Conservative [90% Band]	Cluster	Cluster Removed: Raw	Conservative
clear		all heldnear-miss
Sector rotation with dual momentum	CAD	held	+2,197 [+1,510 .. +2,799]	+213 [-212 .. +628]	1	+2,197	+213
Asset Class Momentum Selects ETFs in different asset classes with the highest momentum and assigns an equal...	CAD	held	+890 [+385 .. +2,166]	+2,288 [+1,633 .. +2,729]	1	+890	+2,288
Thesis: An even split of shares put back to even once a year	USD	held	+428 [-17 .. +749]	+570 [+161 .. +1,070]	3	+5,395	+1,434
Thesis: There is a best gap between one evening up and the next	USD	held	+8 [-492 .. +437]	+0	3	+5,395	+1,434
Mean reversion (ETF)	CAD	near-miss	+0	+623 [+86 .. +980]	1	+0	+623
Thesis: Putting a wider list back to even earns more	USD	near-miss	+0	+8 [-115 .. +190]	3	+5,395	+1,434
OSAP Coskewness / skewness (low)	USD	near-miss	+0	-31 [-59 .. +45]	1	+0	-31
Sector momentum rotation	CAD	near-miss	+0	-93 [-161 .. +165]	1	+0	-93

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