A drawdown number needs a clock.
In our daily-data adaptation of a volatility-stress strategy, the maximum drawdown was 39.1% using daily observations. Looking at the same simulated equity path only at month-ends produced a maximum drawdown of 20.7%.
We did not change the trades to obtain the second number. We changed when we looked at the portfolio.
| Observations used | Maximum drawdown |
|---|---|
| Daily | −39.1% |
| Month-end only | −20.7% |
House adaptation recomputed September 9, 2026. Historical simulated results under the assumptions below; these are not live investment returns.
The starting point was Concretum Research's June 25, 2026 article, A Profitable Strategy for Short-Term Traders. It examines buying SPY during unusually sharp volatility stress and exiting on a rebound. That is an intuitive mechanism to investigate: acute selling pressure may be followed by recovery. It also creates an important practical question about the path an investor must endure while waiting for that recovery.
Our retained construction covers January 2007 through June 26, 2026 and contains 399 trades. It uses daily SPY and VIX data and can scale exposure up to three times capital. The headline calculation includes a per-share commission on exposure changes. It excludes financing costs and has no modeled auction slippage. It should not be described as fully net of implementation costs.
Month-end observations can miss losses that occur and recover between month-ends. For an investor using leverage, an interim loss can affect margin, liquidity or the decision to remain invested even if it later disappears from the monthly chart. Daily observations also leave intraday movements unmeasured.
This comparison is a statement about our reconstruction. It does not establish how another publisher calculated its drawdown or prove that another published statistic is wrong.
There is a second boundary to keep clear. The original strategy describes a decision before the closing auction. A backtest that uses final daily values cannot, by itself, establish what was observable before that decision. Matching a headline result is therefore insufficient to certify an executable replication.
When reading a strategy study, ask three questions about its risk number: What observations enter the calculation? What leverage and costs are assumed? Could an investor actually obtain the simulated exposure using information available at the stated time?
The lesson is not that every monthly backtest is misleading. It is that the measurement interval is part of the result. An investment assessment needs both the reported statistic and a clear account of what that statistic leaves unobserved.
Our subscriber analysis examines the timing sensitivities, exposure assumptions and evidence still needed to assess implementation. Read the research brief and access the full analysis.
Source: Concretum Research's original article. House figures come from our published September 9 analysis. Research approach.
Signal & Evidence · Curated by a 30-year hedge fund veteran. AI assists research preparation. Historical simulations are not a recommendation to trade.