Six strategy families, one engine
Gilito evaluates strategies across six core families daily. Each family captures a different source of return with distinct risk characteristics.
| Strategy Family | Avg Return | Win Rate | Max Drawdown | Sharpe Ratio | Best Asset |
|---|---|---|---|---|---|
Trend Following | +18.4% | 47% | -12.3% | 1.42 | NVDA+34.2% |
Mean Reversion | +14.7% | 64% | -8.9% | 1.58 | JNJ+22.1% |
Momentum | +21.3% | 52% | -15.7% | 1.31 | META+41.8% |
Factor-Based | +16.1% | 57% | -10.4% | 1.47 | BRK.B+24.6% |
Volatility | +12.8% | 59% | -7.2% | 1.63 | SPY+19.4% |
ML / Predictive | +19.6% | 55% | -13.1% | 1.38 | AAPL+29.3% |
Performance data based on backtested strategy results. Past performance does not guarantee future results.
Trend Following
Strategies that identify and ride directional price trends using moving averages, MACD, ADX, and channel breakouts. Market-direction agnostic — long in uptrends, cautious in downtrends.
Key Characteristics
- Works across all timeframes
- Higher win/loss ratio compensates for lower win rate
- Benefits from volatility expansion
Trending bull or bear markets
Choppy, range-bound markets
Avg Return
+18.4%
Win Rate
47%
Max DD
-12.3%
Sharpe
1.42
Best Performing Asset
Mean Reversion
Strategies that exploit extreme price deviations returning to their statistical average. Uses RSI, Bollinger Bands, and z-score indicators to identify oversold/overbought conditions.
Key Characteristics
- High win rate with smaller gains per trade
- Excellent risk-adjusted returns
- Works best with liquid, stable assets
Range-bound, low-volatility markets
Strong trending moves and breakouts
Avg Return
+14.7%
Win Rate
64%
Max DD
-8.9%
Sharpe
1.58
Best Performing Asset
Momentum
Strategies based on the documented tendency of recent outperformers to continue outperforming. Ranks assets by risk-adjusted momentum across multiple lookback windows.
Key Characteristics
- Academically validated across decades
- Strong performance in trending markets
- Can capture outsized gains in winners
Trending bull/bear cycles
Sharp reversals and regime changes
Avg Return
+21.3%
Win Rate
52%
Max DD
-15.7%
Sharpe
1.31
Best Performing Asset
Factor-Based
Strategies that tilt toward validated return factors — value, quality, momentum, and low volatility. Each factor captures a distinct source of excess return with a different risk profile.
Key Characteristics
- Diversified alpha sources
- Lower correlation to market beta
- Robust across economic cycles
Any (factor-dependent)
Factor crash regimes (value traps, momentum reversals)
Avg Return
+16.1%
Win Rate
57%
Max DD
-10.4%
Sharpe
1.47
Best Performing Asset
Volatility
Strategies that trade volatility regimes — buying when implied volatility is cheap and hedging when it spikes. Uses ATR, Bollinger Band width, and VIX-based signals.
Key Characteristics
- Excellent risk management overlay
- Highest Sharpe ratio among families
- Works well as portfolio hedge
Volatile markets with mean-reverting vol
Sustained low-volatility environments
Avg Return
+12.8%
Win Rate
59%
Max DD
-7.2%
Sharpe
1.63
Best Performing Asset
ML / Predictive
Machine learning strategies using random forests, gradient boosting, and ensemble methods to predict short-term price direction from multi-factor inputs.
Key Characteristics
- Adapts to changing market conditions
- Captures non-linear relationships
- Combines multiple data sources
Markets with stable statistical patterns
Black swan events and regime breaks
Avg Return
+19.6%
Win Rate
55%
Max DD
-13.1%
Sharpe
1.38
Best Performing Asset
Disclaimer: All performance figures are based on backtested results and do not guarantee future performance. Investing involves risk. This is not financial advice.
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