Low drawdowns caught my eye in @QuantifiablEdgs' NAAIM study, so I ran the numbers myself. The strategy: Go long for 1 week if any of these 3 sentiment triggers hit(I paraphrase the conditions): Condition 1. NAAIM investors are very pessimistic, but becoming less pessimistic week-on-week. Condition 2. NAAIM investors are more optimistic than average, and becoming meaningfully more optimistic month-on-month. Condition 3. NAAIM investors are very optimistic to the point of being leveraged long. Here's what I found: - Condition 1 is true only 3-4% of the time, but works fairly consistently with a Calmar ratio > 2/3, which is huge. I would describe this as the rebound after a crash that occurs around the same time as breadth thrusts. - Condition 2 is true 3-4 times more often than Condition 1, and also works well, but is also more susceptible to data mining. Changing the thresholds (see Rob's article) from 80 and 15 to something else tends to make the results worse. - Condition 3 does not work as well as Conditions 1 and 2, but is profitable, and compliments the other conditions. One final comment: Actionable high-Calmar ratio alpha is rare. The performance of such strategies tends to degrade once they are disclosed, so trade with care. All in all, an excellent study.