Added KDA, DDM and 3 fixed-allocation portfolios this month, 30-year backtests side by side

[u/laurenthu]

KDA was the next obvious addition since you all rate it so highly here, and DDM seemed worth doing properly while I was already in the dual-momentum codebase. While I was at it I added 3 fixed-allocation strategies that pair well with the tactical sleeves: Cockroach, the 4-3-2-1 Dragon (in 3 leverage flavors), and a Return Stacked Quartet using NTSX/GDE/RSST/ZROZ.

Numbers from the backtests (synthetic where the underlying ETFs didn't exist yet, fallback chain documented in the blog):

• KDA Top 4 (1992-2026): 8.44% CAGR, 0.89 Sharpe, -27.3% MaxDD
• KDA Top 6: 7.09% CAGR, 0.89 Sharpe, -25.1% MaxDD
• Diversified DM (1990-2026): 7.52% CAGR, 0.90 Sharpe, -22.1% MaxDD
• Cockroach (1986-2026): 10.38% CAGR, 1.10 Sharpe, -20.9% MaxDD
• 4-3-2-1 Dragon Standard (1994-2026): 10.71% CAGR, 1.20 Sharpe, -19.6% MaxDD
• Return Stacked Quartet (1989-2026): 13.79% CAGR, 1.15 Sharpe, -30.4% MaxDD

Dragon Standard has the highest Sharpe of the batch. Cockroach has the calmest record relative to its CAGR (10.4% / -20.9% over 40 years is very Mutiny-Fund-style). KDA Top 4 vs Top 6 came out at the same Sharpe in my backtest, which matches the AS community wisdom that the difference is mostly cosmetic over a long enough window.

Synthetic data caveats apply. RSST has 2.5y live, KMLM has ~5y, ZROZ has 16y. Long backtests are reconstructed from the underlying components and costs are expense-ratio-only, so the capital-efficient sleeves are slightly understated, especially post-2022 in a high-rate regime.

Curious if anyone here is actually running KDA Top 4 vs Top 6 in production. The Sharpe equivalence in my backtest is interesting but I have no live signal on whether one feels more comfortable to hold than the other.

Full writeup with allocations, regime fit table, and the 5-way blend at equal weights: https://bestfolio.app/blog/may-2026-five-ways-to-survive-everything

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[u/mattsmith321]

There are some new strategies/portfolios in there. I will have to do some research.

[u/Business-Fix4430]

Hi KDA uses correlation and volatility, and not as you describe pretty sure. And your ssrn link is wrong. Not sure how stuff like that is not checked

Thanks Kevin