AMRI Strategy
Adaptive Macro Regime Index
Proprietary systematic S&P 500 timing strategy with dynamic risk management
The Strategy
AMRI (Adaptive Macro Regime Index) is a proprietary systematic equity timing strategy developed by EdgeTools. The strategy determines S&P 500 exposure based on a composite macroeconomic regime signal.
The model analyzes multiple macroeconomic indicators to assess market conditions and generate trading signals. Position sizing is binary: either fully invested in SPY or holding cash.
The strategy includes built-in risk management features designed to reduce whipsaw trades and protect against significant drawdowns during market stress.
Walk-Forward Test Active Starting December 14, 2025, this strategy is being tested with market data in a walk-forward framework.
How It Works
The strategy monitors proprietary macroeconomic indicators daily. These indicators are processed using quantitative techniques to generate a composite regime signal that determines market exposure.
Entry and exit decisions are based on proprietary signal thresholds combined with risk management rules. The strategy is designed to participate in bull markets while reducing exposure during periods of elevated risk.
The dashboard displays both backtested and model performance. The vertical line marks December 14, 2025 - the start of the walk-forward test. All data to the left represents historical backtesting (starting 2005); all data to the right represents hypothetical out-of-sample performance.
Simulation Settings
Set your start date and initial capital to configure your portfolio simulation.
Minimum: $25,000
Warning: A minimum capital of $25,000 is recommended for this strategy to ensure proper position sizing and risk management.
Model Performance
Drawdown
Peak-to-trough declineHistorical Position
SPY vs Cash over timeCurrent Signal Status
Performance Metrics
Walk-Forward Test Status
Live testing started December 1, 2025
Daily signal updates at market close
Model Performance (Walk-Forward)
Performance since December 1, 2025 based on your configured capital
Note: Model performance tracking began December 14, 2025. All values shown represent hypothetical out-of-sample results, not backtested data. Performance is updated daily after market close.
Performance Summary
Performance Comparison
AMRI vs SPY Buy & Hold for the selected period:
| Metric | AMRI | SPY B&H |
|---|---|---|
| Total Return | -- | -- |
| CAGR | -- | -- |
| Volatility | -- | -- |
| Sharpe Ratio | -- | -- |
| Max Drawdown | -- | -- |
| Exposure | -- | 100% |
Values update based on your configured start date and capital above
Crisis Performance
Strategy behavior during major market downturns:
| Crisis | AMRI | SPY |
|---|---|---|
| 2008 GFC | -- | -55% |
| 2020 Covid | -- | -34% |
| 2022 Bear | -- | -25% |
"The strategy's primary value is capital preservation during market stress."
Walk-Forward Test Disclaimer: This strategy (AMRI) is currently in a walk-forward testing phase starting December 14, 2025. All performance data before this date represents backtested results, not live trading. Past performance, whether backtested or live, does not guarantee future results. This implementation is for research and educational purposes only. The exact methodology is proprietary and not disclosed.