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.
Could not load price history from FMP.
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