I've been using a long-only mechanical ETF investing system for the last 3 years (actually 2 years 11 months, but it's almost entirely in cash right now so this year's results shouldn't change much from now). It invests in stocks, bonds, REITs and commodities, like a normal diversified buy & hold portfolio, except it has a risk-control method to totally avoid serious bear markets. When I initially backtested it, the average return was about 11% over the prior 50 years, maximum peak-valley drawdown was around 10%, and there were no down years on a calendar basis - this includes 1973-74, 1987, 2000-2003, and 2006-2008 (live). I also tested using conservative leverage, and it increases the max drawdown by slightly more than it increases the return. The return is in the mid teens over the long-run using reasonable leverage, max drawdown goes into the mid to high teens. Here are the numbers for the last 3 years, with real money: Year S&P System Leveraged 06 +15.2% +14.5% +25.4% 07 +5% +7.7% +12.5% 08 -40.4% +2.7% +4.9% Return -27.7% +26.6% +48% per yr* -9.25% +8.15% +14% * compound % return per annum Given the backtested results, and that it is a long-only system (it sometimes goes to cash, but can't short), how would you rate the performance - both the live performance 2006-2008, and the back-tested performance (I tried to use very realistic transactions costs and slippage assumptions. Turnover is fairly low)?