Full backtest history from 2004-11-18 to 2026-06-24. The strategy is fully deterministic — every regime flip, dip overlay, and rebalance is reproducible from the same six free FRED + yfinance inputs. Parameters were grid-selected on this same history, so these full-period figures are in-sample; the walk-forward folds on the methodology page are the out-of-sample check.
21.6 years of backtest history (in-sample; net of estimated ETF transaction costs).
Strategy vs SPY buy & hold (growth of $1)
Strategy cumulative return minus SPY — pure alpha line, path-dependent on start date.
Calendar-year returns vs SPY — pattern of consistency and drawdown years.
Every calendar month, every year. Toggle between Strategy, SPY, and Strategy − SPY.
Monthly markers on the strategy equity — green for the default (NORMAL) portfolio, red for the stress (DEFENSIVE) portfolio.
SPY / LQD / GLD weights as a 100% stack — how the rule shifted exposure over time.
Cumulative additive contribution from each leg of the portfolio (SPY, LQD, GLD).
Rolling 21-day turnover — how active the strategy is. Spikes mark regime switches.
Underwater curve (strategy vs SPY) and the 10 worst strategy drawdowns — depth, duration, and recovery time.
Trailing-window Sharpe and Calmar — strategy vs. SPY buy & hold.
Annualized rolling stdev — strategy vs SPY. Visible vol-regime shifts.
How tightly the strategy moves with SPY. A defensive rule should drop correlation in stress.
Histogram of monthly returns with VaR/CVaR markers and a Q-Q plot against the normal distribution — shape of the return stream, not just the moments.
Monthly returns scatter, strategy vs SPY, colored by regime. The defensive thesis: above 45° in the lower-left quadrant.
Daily returns segmented by regime — what the strategy delivers conditional on NORMAL vs DEFENSIVE.
Per-signal firing strip — which of the six rules has been active when. The composite row corresponds to the DEFENSIVE regime.
See the live allocation, walk the six stress signals, or read the methodology.