Portfolio Strategy
RCDA
Walk-forwardRegime-Conditional Defensive Allocation — hedge overlay for AMRI
- Rebalancing
- Daily
- Universe
- SPY + Hedge Basket
- As of
- ...
Backtest 2010 to present. Walk-forward test active since May 10, 2026.
The Strategy
RCDA (Regime-Conditional Defensive Allocation) is a defensive overlay for the AMRI model. When AMRI steps out of equities and moves to cash, RCDA puts that capital to work in a basket of defensive assets instead of leaving it idle.
The defensive mix is a fixed, diversified basket spanning long-duration Treasuries, gold, managed futures and cash. When AMRI is invested in equities, RCDA is inactive and the portfolio simply holds SPY.
Walk-forward test active since May 10, 2026. All historical data before this date represents backtested performance.
How It Works
RCDA works alongside AMRI. While AMRI holds equities, RCDA is inactive. When AMRI moves to cash, RCDA allocates that capital across a fixed basket of defensive assets.
The dashboard shows the combined performance: AMRI's equity periods plus RCDA's defensive basket during cash periods. The shaded area marks the start of the walk-forward test.
Simulation Settings
Set your start date and initial capital. RCDA overlays the AMRI model with a basket of defensive assets during cash periods.
Model Performance
Drawdown
Peak-to-trough declineHistorical Position
SPY vs Hedge Basket over timeCurrent Signal
Current Holdings
Capital is distributed by the account size set in Simulation Settings above. Share counts are whole units estimated from the latest close; any rounding remainder stays in cash. Prices are as of the last update.
Walk-Forward Test
Crisis Performance
| Crisis | RCDA | SPY |
|---|---|---|
| 2020 Covid | -- | -34% |
| 2022 Bear | -- | -25% |
RCDA vs AMRI vs SPY
| Metric | RCDA | AMRI | SPY |
|---|---|---|---|
| CAGR | -- | -- | -- |
| Volatility | -- | -- | -- |
| Sharpe | -- | -- | -- |
| Max DD | -- | -- | -- |
Detailed Metrics
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, RCDA was validated with a battery of standard statistical robustness tests. All tests used the fixed production strategy without post-hoc parameter tuning.
Deflated Sharpe ratio adjusts for the number of configurations examined. The observed Sharpe stays significant after that correction.
95% confidence interval for the Sharpe ratio from 10,000 block-bootstrap samples. Entirely above zero.
Combinatorial purged cross-validation across 45 paths. Every path was positive, with a median out-of-sample Sharpe of 1.66.
Sharpe ratio after 10 bps of transaction costs on turnover, well above the deployment threshold.
The defensive basket lifts risk-adjusted return and cuts tail risk versus holding cash when flat.
All tests were conducted on the fixed production strategy without post-hoc parameter tuning. Past statistical performance does not guarantee future results.