Strategy category
Regime Detection strategies
Strategies that switch behaviour depending on the market regime they detect. 5 strategies, each backtested on up to 10 markets with the same rules. Figures below are for each strategy's main market over the last five years.
Filter in the strategy library| Strategy | Main market | 5Y CAGR | 5Y Sharpe | 5Y Max DD |
|---|---|---|---|---|
| REG-10 HMM Regime DetectionUse Hidden Markov Model to detect market regimes. | SPY | 7.5% | 0.78 | -14.8% |
| REG-01 Regime SwitchSwitch between trend and cash based on volatility regime. | SPY | 7.6% | 0.69 | -17.7% |
| MACRO-02 Risk-On/Risk-Off SwitchSwitch between risk and safe-haven assets. | SPY | 5.8% | 0.40 | -28.2% |
| VOL-13 Volatility Regime StrategySwitch strategy style based on volatility regime. | SPY | 5.3% | 0.47 | -17.1% |
| REG-14 Volatility Regime SwitchAdapt position size to volatility regime. | SPY | 4.3% | 0.46 | -17.7% |