Low Volatility

Low-Volatility Leaders

Selects the lowest 14-day Average True Range among liquid S&P 500 stocks.

Point-in-time S&P 500 · Top 10 equal weight · Monthly rebalance · Jul 2023 – Jul 2026

Requested start: 2023-07-14 · First tradable strategy date: 2023-07-17

Growth of $100

Strategy$189

S&P 500 (SPY proxy)$173

Audited endpoint comparison from the production screening artifact. The daily path is intentionally not reconstructed from summary data.

Source: screening-20260716-f3000f0 · code f3000f0

Performance Summary (Jul 2023 – Jul 2026)

+89%

Period Cumulative Return

+16 pts

vs. SPY benchmark proxy

1.22

Sharpe Ratio

-17%

Max Drawdown

23.8%

Annualized Return

24%

Average Rebalance Turnover

0.85%

Cumulative Modeled Cost Rate

+73.3%

SPY Proxy Period Return

Selection disclosure: this strategy was selected after screening 75 factors over this same period. Its published result is in-sample and should not be treated as an out-of-sample forecast.

How it's built

Average True Range measures the recent daily price range, including overnight gaps. This strategy reverses the rank and holds the 10 stocks with the lowest absolute ATR after the liquidity screen.

Signals used

tech_atr_14

Why it works

Lower-range stocks can produce a smoother portfolio and this candidate had the smallest maximum drawdown of the six. ATR is measured in dollars rather than percentage terms, so price level can affect the ranking; that limitation is part of the published rule, not hidden.

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Re-running applies these settings to current platform data and code, so it may not exactly reproduce this archived artifact.

Past performance is not indicative of future results. Backtests are hypothetical. Results use point-in-time S&P 500 membership, a $5 million liquidity floor, and 5 basis points of modeled slippage per side. Commissions and taxes are set to $0. Bid-ask spread beyond the modeled slippage, market impact from large orders, and investor-specific taxes are not modeled. This is not investment advice. See our full disclaimer for details.