AMRI Strategy
Adaptive Macro Regime Index
Proprietary macro regime strategy for S&P 500 timing
AMRI analyzes proprietary macroeconomic indicators daily and generates a composite regime signal that determines full SPY exposure or cash. Entry and exit follow fixed thresholds combined with trailing stops and minimum holding periods. Methodology is proprietary.
Backtest 2005 to present. Walk-forward test active since December 14, 2025.
--Minimum capital: $25,000
Drawdown
Peak-to-trough declineHistorical Position
SPY vs Cash over timeCurrent Signal
Walk-Forward Test
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 B&H |
|---|---|---|
| Total Return | -- | -- |
| CAGR | -- | -- |
| Volatility | -- | -- |
| Sharpe Ratio | -- | -- |
| Max Drawdown | -- | -- |
| Exposure | -- | 100% |
Detailed Metrics
Statistical Validation
Before deployment, AMRI was subjected to a rigorous multi-phase validation framework based on peer-reviewed statistical methods. The strategy was tested without any parameter changes or optimization against observed results.
10,000 random position sequences with identical average market exposure were compared against the strategy. None matched the observed risk-adjusted return. This confirms that the timing ability is not attributable to chance.
10,000 block bootstrap samples (6-month blocks) produce a 95% confidence interval for the Sharpe ratio that lies entirely above zero. Based on Politis & Romano (1994).
96 parameter combinations across lookback windows and signal thresholds were tested. Every single combination produced a positive Sharpe ratio. The deployed configuration ranks at the 79th percentile, not at the optimum.
Tested across bull/bear markets and high/low volatility environments. The strategy maintained positive risk-adjusted returns in every regime, with strongest performance during bear markets and elevated volatility.
Conditional Value at Risk (95th percentile) of the strategy is −2.7% per month, compared to −9.5% for the S&P 500 benchmark. The worst observed month since 2005 was −4.0%.
All underlying data sources are market-based and final upon release. None of the inputs are subject to retroactive government revisions. Publication lag is applied to ensure no look-ahead bias.
Validation framework based on White (2000), Politis & Romano (1994), and Bailey & Lopez de Prado (2014). Full methodology is proprietary. All tests were conducted on the fixed production strategy without post-hoc parameter tuning. Past statistical performance does not guarantee future results.
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.