Full backtest history from 2004-11-18 to 2026-08-07. The strategy is fully deterministic — every regime flip, dip overlay, and rebalance follows from the same six daily 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.
All figures are EUR-denominated (book: VWCE / LQEE / gold in EUR since 2026-08). History before instrument inceptions is spliced (VWCE ← VT ← 60/40 SPY/AEPGX at 2019-07 / 2008-06; LQEE ← synthetic-hedged LQD at 2017-09). Stress signals remain computed on US market data (S&P 500, US yield curve, DXY) as validated. Benchmark = VWCE buy & hold (EUR, spliced).
21.7 years of backtest history (in-sample; net of estimated ETF transaction costs).
Strategy vs VWCE buy & hold (EUR, spliced) — growth of €1
Strategy cumulative return minus VWCE — pure alpha line, path-dependent on start date.
Rolling-window strategy return minus VWCE return — start-date independent, so it shows when the edge was earned. Click and drag to zoom into any period; double-click to reset.
Calendar-year returns vs VWCE — pattern of consistency and drawdown years.
Every calendar month, every year. Toggle between Strategy, VWCE, and Strategy − VWCE.
Monthly markers on the strategy equity — green for the default (NORMAL) portfolio, red for the stress (DEFENSIVE) portfolio.
VWCE / LQEE / Gold weights as a 100% stack — how the rule shifted exposure over time.
Cumulative additive contribution from each leg of the portfolio (VWCE, LQEE, Gold).
Rolling 21-day turnover — how active the strategy is. Spikes mark regime switches.
Underwater curve (strategy vs VWCE) and the 10 worst strategy drawdowns — depth, duration, and recovery time.
Trailing-window Sharpe and Calmar — strategy vs. VWCE buy & hold.
Annualized rolling stdev — strategy vs VWCE. Visible vol-regime shifts.
How tightly the strategy moves with VWCE. A defensive rule should drop correlation in stress.
Trailing-window annualized Jensen's alpha — return beyond what VWCE beta explains. Click and drag to zoom into any period; double-click to reset.
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 VWCE, 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.