Regime
SPY / QQQ / SMH market regime
Score each ETF 0–100 from trend, momentum, volatility, and recent damage. Map the score to sleeve exposure:
| Score | Regime | Target | Per sleeve |
|---|---|---|---|
| 75–100 | Strong risk-on | 100% | $333,333 |
| 60–74 | Modest risk-on | 100% | $333,333 |
| 45–59 | Neutral | 100% | $333,333 |
| 30–44 | Modest risk-off | 50.0% | $166,667 |
| 0–29 | Defensive | 0% | $0 |
Sized on a $1,000,000 book — equal sleeves of $333,333 each (SPY · QQQ · SMH). Uninvested capital is cash.
As of
2026-07-21
$1,000,000 portfolio
Combined equity
$1,000,000
100%
Cash
$0
0%
SPY
Close $748.28 · 2026-07-21 · 1253 sessions
100/100
Strong risk-on
- Invested
- $333,333
- 100% of $333,333 sleeve
- Sleeve cash
- $0
- Structural
- 35/35
- Momentum
- 25/25
- Short-term
- 15/15
- Vol / damage
- 25/25
Structural trend 35/35
- Price above SMA 200+15
- SMA 50 > SMA 200+10
- SMA 200 rising (20 sessions)+10
Medium-term momentum 25/25
- 63-day return > 0+10
- 126-day return > 0+10
- SMA 21 > SMA 63+5
Short-term trend 15/15
- EMA 8 > EMA 21+5
- Price above EMA 21+5
- EMA 21 rising (5 sessions)+5
Volatility & damage 25/25
- RV 20 < 252d median RV 20+10
- RV 20 < RV 60+5
- 63d drawdown > -8%+5
- No downside shock (5 sessions)+5
QQQ
Close $708.97 · 2026-07-21 · 1253 sessions
70/100
Modest risk-on
- Invested
- $333,333
- 100% of $333,333 sleeve
- Sleeve cash
- $0
- Structural
- 35/35
- Momentum
- 25/25
- Short-term
- 0/15
- Vol / damage
- 10/25
Structural trend 35/35
- Price above SMA 200+15
- SMA 50 > SMA 200+10
- SMA 200 rising (20 sessions)+10
Medium-term momentum 25/25
- 63-day return > 0+10
- 126-day return > 0+10
- SMA 21 > SMA 63+5
Short-term trend 0/15
- EMA 8 > EMA 210/5
- Price above EMA 210/5
- EMA 21 rising (5 sessions)0/5
Volatility & damage 10/25
- RV 20 < 252d median RV 200/10
- RV 20 < RV 600/5
- 63d drawdown > -8%+5
- No downside shock (5 sessions)+5
SMH
Close $584.08 · 2026-07-21 · 1253 sessions
65/100
Modest risk-on
- Invested
- $333,333
- 100% of $333,333 sleeve
- Sleeve cash
- $0
- Structural
- 35/35
- Momentum
- 25/25
- Short-term
- 0/15
- Vol / damage
- 5/25
Structural trend 35/35
- Price above SMA 200+15
- SMA 50 > SMA 200+10
- SMA 200 rising (20 sessions)+10
Medium-term momentum 25/25
- 63-day return > 0+10
- 126-day return > 0+10
- SMA 21 > SMA 63+5
Short-term trend 0/15
- EMA 8 > EMA 210/5
- Price above EMA 210/5
- EMA 21 rising (5 sessions)0/5
Volatility & damage 5/25
- RV 20 < 252d median RV 200/10
- RV 20 < RV 600/5
- 63d drawdown > -8%0/5
- No downside shock (5 sessions)+5
v1.5.0-ablation-light-touch · Light-touch map (full invest through neutral; cut only modest-off / defensive). Overlays off. Backtest: next-open, 1-close re-entry, BIL cash yield.
Backtest · Adaptive
Regime-adaptive playbooks vs buy-and-hold
2010-01-04 → 2026-07-16 · 4,158 sessions · $1,000,000 start · always invested, never cash · signals at close, executed next open · 218 state switches.
$6,980,682
vs $6,603,898 SPY buy-and-hold
| Metric | Adaptive | BH |
|---|---|---|
| Total return | 598.1% | 560.4% |
| CAGR | 12.5% | 12.1% |
| Max drawdown | -28.0% | -32.4% |
| Ann. volatility | 16.0% | 16.5% |
| Sharpe (rf=0) | 0.82 | 0.77 |
| Calmar | 0.45 | 0.37 |
Time in each playbook
- Trend · 70% SPY + 30% SSO79.3%
- Trend guard · 100% SPY3.0%
- Stress · 50% SPY + 50% GLD7.7%
- Defensive · 25% SPY + 50% GLD + 25% BIL9.5%
- Recovery · 100% SPY0.4%
SSO is a 2× S&P 500 ETF (Exchange-Traded Fund), so the Trend book runs ≈130% equity exposure; GLD holds physical gold. Enter Stress below score 45, resume Trend at 60+; Recovery = crash-bounce conditions. Guards: SSO is dropped whenever SPY sits ≥5% below its 20-day high, and score <30 shifts Stress into Defensive (adds a 25% BIL T-bill sleeve).
Model v2.1.0-adaptive-guarded
Backtest · SPY · Ablation
Light-touch regime vs 200-day vs buy-and-hold
2010-01-04 → 2026-07-16 · 4,158 sessions · $1,000,000 start · score map only (no crash-bounce / early risk-off) · bands 100 / 100 / 100 / 50 / 0 · next-open · cash = BIL (1-3M T-bill ETF).
$3,815,422
vs $3,161,345 SMA200 · $6,603,898 BH
| Metric | Regime | SMA 200 | BH |
|---|---|---|---|
| Total return | 281.5% | 216.1% | 560.4% |
| CAGR | 8.4% | 7.2% | 12.1% |
| Max drawdown | -21.5% | -21.4% | -32.4% |
| Ann. volatility | 12.4% | 11.7% | 16.5% |
| Sharpe (rf=0) | 0.72 | 0.65 | 0.77 |
| Calmar | 0.39 | 0.34 | 0.37 |
| Avg exposure | 87.3% | 82.4% | 100.0% |
Model v1.5.0-ablation-light-touch