Backtest

2000-01-01 → 2026-04-30

Total return

5.84×

CAGR

7.2%

Sharpe

0.94

Max drawdown

-21.3%

Alpha vs SPY

2.4%

Equity curve

Strategy vs SPY · log y-axis (visual only)

Underwater curve

Max drawdown -19.4%

Peak-to-trough percentage decline. The deepest valleys are where the regime model paid the cost of being wrong; recovery time is how fast it earned back.

Monthly return distribution

Mean +0.77%

Rolling 12-mo Sharpe

Latest 1.39

Calibration · predicted vs realized

On-line with the diagonal: confidence is honest, not over-stated.

Hit rate by regime

Goldilocks

64 trades

Reflation

81 trades

Stagflation

47 trades

Deflation

51 trades