maybe the problem could be fees and turnover
I did a backtest as well from 2017 until now.
maybe the picture is not clear enough, so I will write some of the details:
The backtest has a return of 16.6%, P&L 2158 Eur, fees 498 final equity 11659
if you average the returns of the darwins : 62.35%,52.46%,33.45%,26.5%,13.59%,-5.69% the average is 30,44%
so getting a return of 16,6% means you are only receiving 54% of the total returns of the darwins
the P&L before fees, you may think should be 30,44% but is only 21,58 % (2158/10000), the reason this happens, is that the invested capital is not compounding fully, it is reduced by the fees, (one of the reasons investing in stocks beats other asset classes is that stocks compound faster due to reinvestment of dividends and this is equivalent to a “negative dividend”, it slowdowns compounding)
and then of course the fees themselves are 23% of the profits (498/2158)
and this portfolio has no turnover, buying in and out makes things even worse.
please find attached the back test report