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Portfolio Strategy

CSAM

Walk-forward

Cross-Sectional Allocation Model

Rebalancing
Monthly
Universe
39 Futures & ETFs
As of
...

The Strategy

CSAM (Cross-Sectional Allocation Model) ranks 39 assets across equity indices, fixed income, energy, metals, agriculture, livestock, currencies, and crypto using a quantitative scoring system. A macro overlay derived from economic conditions adjusts overall portfolio exposure.

Each month, the model predicts risk-adjusted forward returns for 39 assets spanning equity index futures, fixed income, energy, metals, agriculture, livestock, currencies, crypto, and broad ETFs. The top 5 assets with positive predictions are held long, weighted by inverse volatility. A macro overlay scales overall exposure based on the walk-forward FRED composite.

Walk-Forward Test Active Starting June 23, 2026, this strategy is being tested with market data in a walk-forward framework. All historical data before this date represents backtested performance. The vertical marker in the chart indicates the start of the walk-forward period.

How It Works

On the last trading day of each month, the model generates forward-looking scores for all 39 assets. The top 5 assets by score are selected and weighted by inverse realized volatility, concentrating capital in the highest-conviction opportunities.

The dashboard displays both backtested and live performance. The shaded area marks June 23, 2026, the start of the walk-forward test. All data to the left represents historical backtesting; all data to the right represents hypothetical out-of-sample performance. This allows direct comparison of in-sample vs. out-of-sample results.

12
ETF Universe
Top 5
ML-Selected Long Positions
Monthly
Rebalancing

Simulation Settings

Set your start date and initial capital to configure your portfolio. The CSAM strategy uses monthly Quantitative cross-sectional scoring across 39 assets with macro overlay. Data is available from February 2011.

Model Performance

Drawdown

Peak-to-trough decline

Historical Allocation

Model Value
--
--
YTD Return
--
Benchmark SPY: -- (--)
Volatility (6M Lookback)
--
Sharpe Ratio
--
Excess return basis

Walk-Forward Performance

Since Apr 25, 2026
--
CSAM Return
--
SPY B&H Return
--
Outperformance
--
Trading Days

Model Asset Class Allocation

Model ETF Allocation

Model Allocation

Hypothetical model weights for illustration only. Shown as of the latest data refresh. Model value: initial capital plus accumulated hypothetical returns.

Symbol Weight Price Shares Value
Loading holdings...

Performance Metrics

Sortino Ratio
--
Downside risk-adjusted
Max Drawdown
--
Peak to trough
Info Ratio
--
Active return
Beta
--
vs SPY
Calmar Ratio
--
Return/Max DD
VaR (95%)
--
Daily at risk
Downside Dev
--
Downside risk
Up Capture
--
Bull market
Down Capture
--
Bear market
Positive Months
--
Historical %

Walk-Forward Test Status

Walk-forward testing started April 25, 2026

Monthly rebalancing (next: --)

--
days to rebalance

Crisis Performance

Strategy behavior during major market downturns:

Crisis CSAM SPY
2008 GFC---55%
2020 Covid---34%
2022 Bear---25%

CSAM vs SPY Portfolio

Full backtest period comparison:

Metric CSAM SPY
CAGR----
Volatility----
Sharpe Ratio----
Max Drawdown----

Statistical Validation

CSAM passed 6 of 7 validation gates in a rigorous multi-phase framework. DSR requires interpretation of independent trial count. Walk-forward FRED selection eliminates look-ahead bias in the macro feature.

Permutation Test passed
p < 0.005

200 shuffled prediction sequences tested. None matched the observed Sharpe ratio, confirming the scoring system adds value over random selection.

Block Bootstrap passed
CI: 1.10 – 2.08

5,000 block bootstrap samples (21-day blocks) produce a 95% confidence interval for the Sharpe ratio entirely above zero. Based on Politis & Romano (1994).

CPCV passed
10/10 positive

Walk-forward 10-fold validation. All folds produce positive Sharpe ratios, confirming stability across different time periods.

Noise Robustness passed
100% retained

10% noise injection retains 100% of original Sharpe ratio across 100 seeds. Strategy is robust to small perturbations in the return stream.

Regime Stability passed
15/16 years

Positive returns in 15 of 16 calendar years (2011-2026). Only 2018 showed a small negative return (-10.4%).

Benchmark Alpha passed
5/5 positive

Walk-forward 5-fold validation confirms positive Sharpe in all folds. No single period drives the overall result.

Validation based on White (2000), Politis & Romano (1994), Bailey & Lopez de Prado (2014), and Lopez de Prado (2018). All tests conducted on the fixed production strategy. Past statistical performance does not guarantee future results.