Equity Curve — Log Scale
Regime Rotation vs SPY · weekly
Drawdown from Peak
close-to-close
Annual Returns — Regime Rotation vs SPY
9 / 9 green · beat SPY 5 / 9 full years
Regime Allocations
Regime Rotation rotates a fixed ETF basket per macro regime.
In FALL it runs a capital-preservation allocation; in SPRING / SUMMER / WINTER
it runs a 50/50 blend of two complementary momentum frameworks. Weights are
fixed — only the active regime changes month to month.
Regime Timeline
110 months · Feb 2017 – Mar 2026 (classified)
Robustness & Validation Study
15 independent tests run against the daily backtest.
Every test passes. The permutation test and White's Reality Check are the
strongest evidence the regime signal is real and not curve-fit.
Regime-Conditional Sharpe
each season independently vs SPY
Era Stability
3 macro eras
Full Statistics
All ratios computed from daily returns
(mean / std(ddof=1) × √252). Authoritative daily-OHLC backtest.
Methodology. Close-to-close daily returns. Cash earns 4% annualised
(0.04/252 daily). No transaction costs modelled (monthly rebalance of liquid
ETFs, friction <0.05% round-trip). T+1 monthly lag — trades execute on the
first Friday after the regime classification is confirmed. IS/OOS split at
first Friday of May 2021. Regime history frozen from the Macro Regime Engine
(110 months, Feb 2017 – Mar 2026).
Trade Ticket
Trade Log
Every monthly allocation decision. One row per month.
[CHANGE] marks a regime transition that altered the target allocation.
Returns
Monthly return matrix and yearly summary.
Green = positive, red = negative. Regime Rotation vs SPY.
Calendar-month, close-to-close — the standard monthly convention.
Monthly Returns Heatmap — Regime Rotation (%)
calendar month