SIGMA
Walk-forwardSignal-Integrated Global Macro Allocation
- Rebalancing
- Monthly
- Universe
- 10 ETFs
- As of
- ...
The Strategy
SIGMA (Signal-Integrated Global Macro Allocation) builds monthly composite signals from thousands of FRED economic indicators for each of 10 ETFs. Each composite aggregates z-scored macro series (with publication-lag correction) into a single regime score per asset class.
When the composite score exceeds a per-asset threshold, the ETF is held long with equal weight among all active positions. When the score falls below the threshold, that position moves to cash. This results in a binary long/flat allocation that adjusts monthly to changing macroeconomic conditions.
Walk-Forward Test Active Starting April 25, 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, composite scores are recalculated from the latest available economic data. ETFs with scores above their threshold enter the portfolio at equal weight; those below exit. No optimization or volatility targeting is applied at the portfolio level.
The dashboard displays both backtested and live performance. The shaded area marks April 25, 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.
Simulation Settings
Set your start date and initial capital to configure your portfolio. The SIGMA strategy uses monthly composite signals derived from thousands of economic indicators. Data is available from August 2002.
Model Performance
Drawdown
Peak-to-trough declineHistorical Allocation
Walk-Forward Performance
Since Apr 25, 2026Model 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
Walk-Forward Test Status
Walk-forward testing started April 25, 2026
Monthly rebalancing (next: --)
Crisis Performance
Strategy behavior during major market downturns:
| Crisis | SIGMA | SPY |
|---|---|---|
| 2008 GFC | -- | -55% |
| 2020 Covid | -- | -34% |
| 2022 Bear | -- | -25% |
SIGMA vs SPY Portfolio
Full backtest period comparison:
| Metric | SIGMA | SPY |
|---|---|---|
| CAGR | -- | -- |
| Volatility | -- | -- |
| Sharpe Ratio | -- | -- |
| Max Drawdown | -- | -- |
Statistical Validation
SIGMA passed all 8 gates of a rigorous multi-phase validation framework based on peer-reviewed statistical methods. No parameter optimization was applied at the portfolio level.
10,000 random allocation sequences tested. None matched the observed risk-adjusted return, confirming the strategy captures genuine macro information.
10,000 block bootstrap samples (6-month blocks) produce a 95% confidence interval for the Sharpe ratio entirely above zero. Based on Politis & Romano (1994).
252 combinatorial purged cross-validation paths with 12-month embargo. Median out-of-sample Sharpe of 1.60. Based on Lopez de Prado (2018).
Signal degradation under calibrated noise injection is smooth and monotonic. Strategy retains a Sharpe above 1.3 even at 100% noise contamination.
Positive risk-adjusted returns across bull, bear, high-volatility, and low-volatility environments. Strongest performance during low-volatility regimes (SR 2.61).
Statistically significant alpha against all tested benchmarks: SPY, 60/40, equal-weight buy-and-hold, and SPY trend-following.
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.
Walk-Forward Test Disclaimer: This strategy (SIGMA) is currently in a walk-forward testing phase starting April 25, 2026. 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.