Portfolio Strategy
AMRI
Walk-forwardAdaptive Macro Regime Index
- Rebalancing
- Daily
- Universe
- SPY / Cash
- As of
- ...
The Strategy
AMRI (Adaptive Macro Regime Index) monitors macroeconomic conditions using Federal Reserve economic data and cross-asset signals. When the macro environment deteriorates beyond critical thresholds, the strategy exits equity exposure entirely and moves to cash. When conditions normalize, it re-enters.
This produces a binary allocation: either fully invested in the S&P 500 or fully in cash. The approach sacrifices some upside during extended rallies in exchange for avoiding the worst drawdowns.
Walk-Forward Test Active Starting December 14, 2025, this strategy is being tested with market data in a walk-forward framework. All historical data before this date represents backtested performance. The shaded region in the chart indicates the start of the walk-forward period.
How It Works
Each trading day, the model evaluates a composite of macroeconomic indicators sourced from the Federal Reserve Economic Database (FRED). These indicators are z-scored and aggregated into a single regime signal with publication-lag correction to prevent look-ahead bias.
When the composite signal crosses below the threshold, the strategy moves to cash. When it recovers above the threshold, the strategy re-enters SPY. The dashboard displays both backtested and live performance. The shaded area marks December 14, 2025, the start of the walk-forward test.
Simulation Settings
Set your start date and initial capital to configure the model simulation. AMRI uses daily macro signals from FRED economic data. The backtest begins January 2005. Minimum capital: $20,000.
Model Performance
Drawdown
Peak-to-trough declinePosition History
SPY vs Cash over timeWalk-Forward Performance
Since Dec 14, 2025Current Signal
| Composite Signal | -- |
| Position | -- |
| Days in Position | -- |
Walk-Forward Status
Walk-forward testing started December 14, 2025
Daily rebalancing (signal evaluated each trading day)
Performance Metrics
Crisis Performance
Strategy behavior during major market downturns:
| Crisis | AMRI | SPY |
|---|---|---|
| 2008 GFC | -- | -55% |
| 2020 Covid | -- | -34% |
| 2022 Bear | -- | -25% |
AMRI vs SPY Buy & Hold
Full backtest period comparison:
| Metric | AMRI | SPY |
|---|---|---|
| Total Return | -- | -- |
| CAGR | -- | -- |
| Volatility | -- | -- |
| Sharpe Ratio | -- | -- |
| Max Drawdown | -- | -- |
| Exposure | -- | 100% |
Statistical Validation
Before deployment, AMRI was subjected to a multi-phase validation framework based on peer-reviewed statistical methods. All tests used the fixed production strategy without post-hoc parameter tuning.
10,000 random position sequences. None matched the observed risk-adjusted return.
95% Sharpe ratio confidence interval from 10,000 bootstrap samples. Entirely above zero. Based on Politis & Romano (1994).
96 parameter combinations tested. All produced positive Sharpe ratios. Deployed at 79th percentile.
Positive risk-adjusted returns across bull/bear markets and high/low volatility environments.
CVaR (95th percentile) per month vs −9.5% for SPY. Worst observed month: −4.0%.
All inputs are market-based and final upon release. Publication lag applied to prevent look-ahead bias.
Validation based on White (2000), Politis & Romano (1994), Bailey & Lopez de Prado (2014). All tests conducted on the fixed production strategy. Past statistical performance does not guarantee future results.