Portfolio Strategy
SIGMA
Walk-forwardSignal-Integrated Global Macro Allocation
- Rebalancing
- Monthly
- Universe
- 10 ETFs
- As of
- ...
The Strategy
SIGMA (Signal-Integrated Global Macro Allocation) is a systematic strategy that allocates across 10 global asset-class ETFs spanning equities, fixed income, and commodities. Each month it decides, per asset class, whether to hold a long position or stand aside in cash.
The result is a long or flat allocation that adjusts monthly to changing conditions, aiming to stay invested in asset classes when the environment is supportive and reduce exposure when it is not. The model is fully rules-based with no discretionary input.
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, SIGMA re-evaluates every asset class with a quantitative model and sets the portfolio for the month ahead.
The model is built to avoid look-ahead bias so historical and live results stay comparable. The dashboard shows both backtested and out-of-sample performance. The shaded area marks April 25, 2026, the start of the walk-forward test. Data to the left is historical backtesting; data to the right is hypothetical out-of-sample performance.
Simulation Settings
Set your start date and initial capital to configure your portfolio. SIGMA rebalances monthly across 10 global asset-class ETFs. 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 | -- | -- |
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, SIGMA was validated with a battery of standard statistical robustness tests. All tests used the fixed production strategy without post-hoc parameter tuning.
10,000 random allocation sequences tested. None matched the observed risk-adjusted return.
10,000 bootstrap samples produce a 95% confidence interval for the Sharpe ratio entirely above zero.
Every out-of-sample split produced a positive Sharpe ratio, with a median of 1.60.
Performance degrades smoothly under added noise. The 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.
Statistically significant alpha against all tested benchmarks: SPY, 60/40, equal-weight buy-and-hold, and SPY trend-following.
All tests conducted on the fixed production strategy. Past statistical performance does not guarantee future results.