Portfolio Strategy
AMRI
Walk-forwardAdaptive Macro Regime Index
- Rebalancing
- Daily
- Universe
- SPY / Cash
- As of
- ...
The Strategy
AMRI (Adaptive Macro Regime Index) is a systematic strategy that manages exposure to US large-cap equities. It holds a long position in the S&P 500 when its regime assessment is constructive and moves fully to cash when that assessment turns defensive.
The result is a long or flat profile that aims to take part in sustained uptrends while stepping aside during the most severe drawdowns. The model is fully rules-based with no discretionary input. It accepts giving up some upside during extended rallies in return for reducing exposure to large losses.
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
AMRI runs on a quantitative model that assesses the broad market and macro environment and translates it into a single long or flat decision.
The model is evaluated once per trading day and is built to avoid look-ahead bias, so historical and live results stay directly comparable. The dashboard shows both backtested and out-of-sample performance, with the shaded area marking 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 evaluates its signal daily. 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
| 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% |
Strategy Health Monitor
Live drift detection and alpha decay tracking
Drift Detection
Detects structural shifts in performance
Alpha Decay Monitor
Risk-adjusted return, 12 vs 36 months
The left panel flags structural shifts in performance against expectations. The right panel compares recent risk-adjusted returns with the longer-run track record. A weakening trend points to a fading edge.
Statistical Validation
Before deployment, AMRI was validated with a battery of standard statistical robustness tests. 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.
180 parameter combinations tested. All produced positive Sharpe ratios. Deployed at the 68th percentile.
Positive risk-adjusted returns across bull/bear markets and high/low volatility environments.
CVaR (95th percentile) per month vs −9.7% for SPY. Worst observed month: −6.7%.
Macro inputs use a publication delay and signals act on the prior close, so the backtest reflects information available at each decision.
All tests conducted on the fixed production strategy. Past statistical performance does not guarantee future results.