ARIA Strategy
Adaptive Risk Investment Allocation
Quantitative multi-asset equity timing strategy driven by macroeconomic data with systematic risk management and monthly rebalancing
The Strategy
ARIA (Adaptive Risk Investment Allocation) is a quantitative equity timing strategy that uses macroeconomic data to determine exposure across four major markets: U.S. large-cap, U.S. technology, U.S. small-cap, and international developed equities.
The model processes a broad set of macroeconomic indicators through a proprietary signal framework to assess the risk-return profile of each market segment independently. When macro conditions are favorable for a given segment, the strategy allocates capital. Otherwise, it holds cash. This selective approach allows the portfolio to participate in market upside while reducing exposure during unfavorable macro regimes.
The strategy was developed using a strict walk-forward methodology where all model parameters and indicator selection were determined exclusively on historical data, with no information leakage into the evaluation period. Transaction costs are included in all reported results.
Walk-Forward Test Active Starting April 1, 2026, this strategy is being tested with market data in a walk-forward framework.
How It Works
Each month, the model evaluates a proprietary set of macroeconomic indicators per market segment. These indicators are processed through a statistical combination framework that produces a directional forecast for each ETF.
Positive forecasts result in an equal-weight allocation (25% per ETF). Segments with negative forecasts remain in cash. The portfolio rebalances at month-end, resulting in low turnover and minimal transaction costs.
The dashboard shows both backtested and walk-forward performance. The shaded area on the chart marks the walk-forward period starting April 2026. Everything before that date represents out-of-sample backtested results (from 2010). Everything after represents hypothetical out-of-sample performance.
The exact indicator selection, combination method, and model parameters are proprietary and not disclosed.
Simulation Settings
Set your start date and initial capital to configure your portfolio simulation.
Model Performance
Drawdown
Peak-to-trough declineEquity Exposure
Total equity allocation over timeWalk-Forward Performance
Since Apr 1, 2026Model ETF Positions
Performance Metrics
Walk-Forward Test Status
Walk-forward testing started April 1, 2026
Monthly signal updates at end of month
Backtested Performance (2010-2026)
Performance Comparison
ARIA vs SPY Buy & Hold, out-of-sample walk-forward backtest from January 2010:
| Metric | ARIA | SPY B&H |
|---|---|---|
| Total Return | -- | -- |
| CAGR | -- | -- |
| Volatility | -- | -- |
| Sharpe Ratio | -- | -- |
| Max Drawdown | -- | -- |
| Exposure | -- | 100% |
Walk-forward test begins April 1, 2026
Key Properties
ARIA uses macroeconomic data to trade four major equity market segments independently. Each segment receives a binary allocation decision (invested or cash) based on the model's proprietary macro signal framework.
The strategy was validated through multiple statistical robustness tests including permutation testing, bootstrap analysis, and combinatorial cross-validation. All reported metrics include transaction costs.
The model rebalances at month-end with an average holding period of several months per position, resulting in low turnover. Average portfolio exposure varies between 25% and 100% depending on macro conditions.
The signal generation methodology, specific indicators, and model parameters are proprietary.
Walk-Forward Test Disclaimer: This strategy (ARIA) is currently in a walk-forward testing phase starting April 1, 2026. All performance data before this date represents backtested results using a strict out-of-sample methodology. Past performance, whether backtested or live, does not guarantee future results. Transaction costs are included. This implementation is for research and educational purposes only. The exact methodology is proprietary and not disclosed.