Every strategy tested
Research candidates and the baselines they're measured against. Click any column to sort; click a strategy for the full write-up.
Research candidates
Proposed and built by the agent team.
| Strategy | Verdict | Val. Sharpe | Val. CAGR | Val. max DD | Corr. 60/40 | DSR | Cycle | 2007–21 |
|---|---|---|---|---|---|---|---|---|
| macro quadrant Growth x inflation quadrant allocation from point-in-time hard data and breakevens | Needs work | 1.11 | 9.5% | -9.6% | 0.22 | 100% | Oct 16, 2026 | |
| fear vs fundamentals Fade market growth scares that the physical economy does not confirm | Needs work | 0.47 | 3.3% | -9.3% | 0.35 | 87% | Oct 16, 2026 | |
| labor turn duration Labor-turn duration timing: buy Treasuries when the labor market cracks, because the Fed cuts more than markets price | Rejected | 0.38 | 3.4% | -16.1% | -0.21 | 82% | Oct 16, 2026 |
Baselines
Reference strategies with textbook parameters.
| Strategy | Verdict | Val. Sharpe | Val. CAGR | Val. max DD | Corr. 60/40 | DSR | 2007–21 |
|---|---|---|---|---|---|---|---|
| 60/40 stocks/bonds benchmark | Baseline | 1.09 | 11.9% | -18.9% | 1.00 | 99% | |
| Macro regime (credit spreads) macro_regime | Baseline | 1.05 | 14.6% | -23.5% | 0.97 | 99% | |
| S&P 500 buy-and-hold benchmark | Baseline | 0.92 | 17.3% | -33.7% | 0.98 | 98% | |
| Risk parity risk_parity | Baseline | 0.77 | 9.1% | -26.6% | 0.65 | 96% | |
| Asset rotation rotation | Baseline | 0.74 | 9.7% | -18.2% | 0.45 | 96% | |
| Trend following trend | Baseline | 0.46 | 4.3% | -15.0% | 0.49 | 76% |
Reading the numbers
Sharpe is return above cash per unit of volatility; above 1 on validation is strong, and above 1.5 on daily data is treated as a likely bug until proven otherwise. Max DD is the worst peak-to-trough loss. Corr. 60/40 shows how much an idea overlaps the classic portfolio: low is valuable. DSR (deflated Sharpe ratio) is the probability the true Sharpe is above zero after accounting for how many variants of the idea were tried.
All figures are backtests from 2007 to 2021, after trading costs. The 2022-to-today holdout is sealed and not shown anywhere on this site.