Regime Switch
Combines long-term trend filter with volatility regime detection.
At a glance
What the backtest shows
- Beat buy-and-hold on 4 of 10 markets by annual return over 5 years.
- Had a smaller maximum drawdown than buy-and-hold on 9 of 10 markets.
- Best market by Sharpe ratio: GLD (Sharpe 1.18, CAGR 17.0%).
- Weakest market: USO (Sharpe -0.58, CAGR -6.4%).
- Few or no trades in the window on UNG, BTC-USD, ETH-USD — treat those rows as a sign the rules rarely triggered, not as an edge.
Equity curve
Score and risk profile
Each bar is a percentile against every strategy on the same market and window (100 = best).
How it held up in sell-offs (SPY)
| Period | Strategy | Buy & hold |
|---|---|---|
| Q4 2018 sell-off | -10.3% | -19.2% |
| COVID crash (Feb–Mar 2020) | -17.4% | -33.7% |
| 2022 bear market | -13.1% | -24.5% |
| Market above its 200-day average (annualized) · 81% | +12.3% | +12.5% |
| Market below its 200-day average (annualized) · 19% | 0.0% | +19.8% |
Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.
Results by market (5 years)
| Market | CAGR | Buy & hold CAGR | Sharpe | Max drawdown | Buy & hold max DD | Volatility | Arena Score |
|---|---|---|---|---|---|---|---|
| GLDSPDR Gold Shares | 17.0% | 16.4% | 1.18 | -17.7% | -28.3% | 14.5% | 80 |
| SLViShares Silver Trust | 9.5% | 15.2% | 0.84 | -14.6% | -57.8% | 11.7% | 75 |
| SPYSPDR S&P 500 | 7.6% | 11.6% | 0.69 | -17.7% | -24.5% | 11.4% | 71 |
| DBAInvesco DB Agriculture | 7.3% | 8.8% | 0.64 | -14.5% | -15.9% | 12.5% | 75 |
| DBCInvesco DB Commodity Index | 0.9% | 10.8% | 0.12 | -40.8% | -27.3% | 14.4% | 24 |
| EURUSD=XEUR/USD | 0.4% | -0.7% | 0.10 | -10.9% | -17.2% | 5.0% | 61 |
| UNGUnited States Natural Gas | 0.0% | -30.7% | 0.00 | 0.0% | -93.3% | 0.0% | — |
| ETH-USDEthereum | 0.0% | -15.1% | 0.00 | 0.0% | -79.0% | 0.0% | — |
| BTC-USDBitcoin | -2.2% | 2.6% | -0.35 | -13.1% | -75.9% | 4.2% | — |
| USOUnited States Oil Fund | -6.4% | 20.2% | -0.58 | -33.0% | -36.2% | 10.4% | 9 |
Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.
SPY across time windows
Rules
Entry
Go long when price > SMA and vol < threshold
Exit
Exit when price < SMA or vol > threshold
Indicators
SMA(200) Volatility(60)
Inputs
TrendMA = 200 VolLookback = 60
Position sizing
Scaled by volatility
Risk controls
Cap max exposure at 80%
Strategy evidence
- BTC-USD · Inspect evidence 2026-11-10
- DBA · Inspect evidence 2026-11-10
- DBC · Inspect evidence 2026-11-10
- ETH-USD · Inspect evidence 2026-11-10
- EURUSD=X · Inspect evidence 2026-11-10
- GLD · Inspect evidence 2026-11-10
- SLV · Inspect evidence 2026-11-10
- SPY · Inspect evidence 2026-11-10
- UNG · Inspect evidence 2026-11-10
- USO · Inspect evidence 2026-11-10
Only available, validated bundles appear below. Missing evidence is not a passing validation result.
Evidence coverage
10 / 10 declared strategy–market pairs validated
Notes
- Defensive in stressed regimes
- May lag sudden recoveries
Related strategies
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<a href="https://quantarenas.com/strategy/reg-01-regime-switch/"><img src="https://quantarenas.com/badge/reg-01-regime-switch.svg" alt="Regime Switch Arena Score on Quant Arena" height="20"></a>
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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.