Citrine
Stock-specific momentum beyond broad sector movesCitrine searches for strength that remains after accounting for the broad market and a stock’s sector. It is designed to favor company-specific leadership over a move shared by an entire industry.
Signal from the 2026-08-21 close, filled at the next session’s open.
- Starting capital
- $100,000
- 2017-01-03
- Current value
- $474,965
- 2026-08-21
- Total return
- +375.0%
- Annualized return
- +17.6%
- SPY +13.6%
- Max drawdown
- -24.2%
- 2021-02-12 → 2021-05-13
- Profit factor
- 1.66
- avg win +11.1%, avg loss -5.8%
Equity curve
Citrine — after costsSPY buy & hold
Drawdown
Both charts include estimated execution costs for a $100,000 account. The estimate scales each fill with order size, liquidity, and volatility; actual slippage can differ.
Returns by year
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | 4.6 | 5.7 | 0.8 | 2.0 | -1.3 | -0.2 | 3.5 | 0.1 | 4.6 | 0.9 | 3.2 | -0.3 | +25.9% |
| 2018 | 6.7 | -4.4 | -1.1 | -0.4 | 6.8 | -1.1 | -1.4 | 4.1 | -2.3 | -7.6 | -0.3 | -6.0 | -7.8% |
| 2019 | 5.3 | 9.0 | 5.4 | 1.3 | -2.9 | 6.4 | 1.7 | 1.7 | -6.4 | -1.9 | 1.6 | -1.8 | +20.0% |
| 2020 | 3.7 | -6.8 | -5.5 | 2.4 | 5.5 | 4.6 | 9.0 | 7.3 | -2.5 | -1.4 | 15.5 | 2.1 | +37.0% |
| 2021 | 12.1 | 5.1 | -4.6 | -3.0 | -3.6 | 6.6 | -2.7 | 1.3 | -2.3 | 8.5 | -5.3 | 2.5 | +13.5% |
| 2022 | -6.1 | 1.6 | 5.4 | -3.3 | -1.5 | -5.6 | 9.0 | 1.2 | -5.8 | 5.8 | 1.6 | -5.3 | -4.3% |
| 2023 | 4.0 | 0.3 | 1.9 | -2.0 | -0.6 | 8.1 | 2.4 | -1.5 | -3.3 | -2.5 | 8.4 | 2.5 | +18.3% |
| 2024 | 3.3 | 9.1 | 3.7 | -4.0 | 5.7 | 1.1 | -3.5 | 4.4 | 0.8 | 2.0 | 8.8 | -9.4 | +22.4% |
| 2025 | 6.0 | 0.9 | -4.3 | -1.5 | 4.5 | 6.2 | 3.5 | -1.9 | 5.9 | 2.5 | -2.5 | 0.2 | +20.4% |
| 2026 | 13.2 | 10.3 | -8.3 | 14.7 | 1.4 | 2.3 | -4.0 | 0.3 | · | · | · | · | +31.3% |
Monthly figures in percent, after execution costs. 60.3% of months were positive; best year +37.0%, worst -7.8%. The final year is partial.
Research, not advice. Strategy results are hypothetical backtests, not subscriber or managed-account returns. They assume next-open fills and use modeled execution costs at the displayed account size where calibrated; actual execution can differ. Dividends and taxes are excluded, historical delisting coverage is incomplete, and every strategy can lose money. Read the full strategy disclosure.