TAIL-01

Crisis Alpha

Risk-off stance triggered by volatility regimes.

Tail RiskDefensive

Open interactive charts Compare with others

At a glance

Best onSPY Crisis Windows Top3

Signal frequencyDaily

Typical holding periodDays to weeks

Asset classesIndex

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 2 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 6 of 10 markets.
Best market by Sharpe ratio: UNG (Sharpe 0.26, CAGR -3.7%).
Weakest market: DBC (Sharpe -0.54, CAGR -4.3%).
Few or no trades in the window on EURUSD=X, DBA, UNG — treat those rows as a sign the rules rarely triggered, not as an edge.

Equity curve

Crisis Alpha Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 12.7SPY, 5 years

Return quality · 30%3

Drawdown control · 25%9

Consistency · 20%16

Robustness · 15%16

Significance · 10%36

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market11%

Ulcer index8.9%

Longest drawdown1701 days

Daily VaR (95%)-0.04%

Probability Sharpe > 036%

Beta vs buy & hold-0.23

Alpha (annual)+1.6%

Positive months7%

CAGR after 10 bp costs-2.0%

Deflated Sharpe (luck-adjusted)3%

CAGR, 90% bootstrap range-5.8% to 2.6%

Max drawdown, 90% bootstrap range-32.2% to -9.6%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-2.5%	-19.2%
COVID crash (Feb–Mar 2020)	+25.7%	-33.7%
2022 bear market	+3.6%	-24.5%
Market above its 200-day average (annualized) · 81%	-0.3%	+12.5%
Market below its 200-day average (annualized) · 19%	-13.3%	+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.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	-0.22
Same parameters in the following 6 months, when traded (Sharpe)	-0.22
Default parameters over the same months (Sharpe)	-0.16
Parameter re-selections / changes	28 / 4
Parameter settings with a positive Sharpe (full history)	0 of 9
Sharpe across settings: worst / median / best	-0.26 / -0.22 / -0.03

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 9 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
UNGUnited States Natural Gas	-3.7%	-30.7%	0.26	-75.9%	-93.3%	62.6%	85
ETH-USDEthereum	-18.9%	-15.1%	0.03	-92.4%	-79.0%	55.8%	37
EURUSD=XEUR/USD	0.0%	-0.7%	0.00	0.0%	-17.2%	0.0%	—
SPYSPDR S&P 500	-1.6%	11.6%	-0.16	-13.8%	-24.5%	8.3%	13
DBAInvesco DB Agriculture	-0.8%	8.8%	-0.17	-11.5%	-15.9%	4.1%	—
BTC-USDBitcoin	-21.2%	2.6%	-0.19	-91.6%	-75.9%	40.6%	18
GLDSPDR Gold Shares	-2.4%	16.4%	-0.21	-20.9%	-28.3%	9.2%	17
SLViShares Silver Trust	-15.1%	15.2%	-0.32	-78.6%	-57.8%	33.7%	17
USOUnited States Oil Fund	-19.5%	20.2%	-0.51	-72.8%	-36.2%	32.4%	9
DBCInvesco DB Commodity Index	-4.3%	10.8%	-0.54	-24.0%	-27.3%	7.6%	17

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

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+0.4%	0.4%	1.00	0.00	0.0%	0%	1
3 years	-3.3%	-1.1%	-0.25	-0.08	-9.5%	1%	3
5 years	-7.8%	-1.6%	-0.16	-0.09	-13.8%	6%	17
Full history	-38.8%	-2.9%	-0.26	-0.11	-43.5%	4%	63

Rules

Logic

When VIX > threshold: long volatility proxy / cash
Else: cash

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Volatility trigger uses realized vol proxy on SPY.

Related strategies

REG-01 · SPY 5Y Sharpe 0.69Regime Switch RISK-01 · SPY 5Y Sharpe 0.63Drawdown Control

Embed this score

Add the live badge to a blog post, README or forum signature. It updates with the daily data.

<a href="https://quantarenas.com/strategy/tail-01-crisis-alpha/"><img src="https://quantarenas.com/badge/tail-01-crisis-alpha.svg" alt="Crisis Alpha Arena Score on Quant Arena" height="20"></a>

[![Crisis Alpha Arena Score](https://quantarenas.com/badge/tail-01-crisis-alpha.svg)](https://quantarenas.com/strategy/tail-01-crisis-alpha/)

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.