Portfolio Strategy
CMRS
Walk-forwardComposite Macro Risk Signal
- Rebalancing
- Daily
- Universe
- SPY / Cash
- As of
- ...
The Strategy
CMRS (Composite Macro Risk Signal) uses a composite of 6 daily, non-revisable macroeconomic and market indicators to time equity exposure. The signal construction prioritizes statistical robustness while maintaining a binary Long/Cash structure.
The strategy is either fully invested in the S&P 500 or fully in cash. The composite signal provides reliable regime detection with minimal false signals and effective crisis avoidance.
Walk-Forward Test Active Starting June 6, 2026, this strategy is being tested with market data in a walk-forward framework. All historical data before this date represents backtested performance.
How It Works
Each trading day, the model evaluates a proprietary composite of macroeconomic and market indicators. These are transformed into a single regime signal that determines equity exposure. The signal construction uses only daily data sources with no revision risk.
Entry and exit thresholds adapt to prevailing market conditions. A trailing stop and minimum hold period prevent whipsaws during volatile regime transitions. The model passed all 11 validation gates of the EdgeTools strategy development framework.
Simulation Settings
Set your start date and initial capital to configure the model simulation. CMRS uses a composite of daily macro and market indicators. The backtest begins April 2017. Minimum capital: $20,000.
Model Performance
Drawdown
Peak-to-trough declinePosition History
SPY vs Cash over timeWalk-Forward Performance
Since Jun 6, 2026Current Signal
| Composite Signal | -- |
| Position | -- |
| Days in Position | -- |
Walk-Forward Status
Walk-forward testing started December 14, 2025
Daily rebalancing (signal evaluated each trading day)
Performance Metrics
Crisis Performance
Strategy behavior during major market downturns:
| Crisis | CMRS | SPY |
|---|---|---|
| 2008 GFC | -- | -55% |
| 2020 Covid | -- | -34% |
| 2022 Bear | -- | -25% |
CMRS vs SPY Buy & Hold
Full backtest period comparison:
| Metric | CMRS | SPY |
|---|---|---|
| Total Return | -- | -- |
| CAGR | -- | -- |
| Volatility | -- | -- |
| Sharpe Ratio | -- | -- |
| Max Drawdown | -- | -- |
| Exposure | -- | 100% |
Statistical Validation
Before deployment, CMRS was subjected to a multi-phase validation framework based on peer-reviewed statistical methods. All tests used the fixed production strategy without post-hoc parameter tuning.
10,000 random position sequences. None matched the observed risk-adjusted return.
95% Sharpe ratio confidence interval from 10,000 bootstrap samples. Entirely above zero. Based on Politis & Romano (1994).
96 parameter combinations tested. All produced positive Sharpe ratios. Deployed at 79th percentile.
Positive risk-adjusted returns across bull/bear markets and high/low volatility environments.
CVaR (95th percentile) per month vs −9.5% for SPY. Worst observed month: −4.0%.
All inputs are market-based and final upon release. Publication lag applied to prevent look-ahead bias.
Validation based on White (2000), Politis & Romano (1994), Bailey & Lopez de Prado (2014). All tests conducted on the fixed production strategy. Past statistical performance does not guarantee future results.