Portfolio Strategy
SMHA
Walk-forwardSystematic Momentum Hedge Allocation
- Rebalancing
- Daily
- Universe
- SPY + Hedge Basket
- As of
- ...
Backtest 2008 to present. Walk-forward test active since May 10, 2026.
The Strategy
SMHA (Systematic Momentum Hedge Allocation) deploys a momentum-weighted hedge basket when the upstream timing model (CMRS) exits to cash. Only assets trading above their 200-day moving average receive allocation, with weights normalized across the active universe.
The momentum filter systematically excludes assets in downtrends, concentrating capital in those with favorable price action. This approach passed all 8 validation gates of the EdgeTools strategy development framework.
Walk-forward test active since June 6, 2026. All historical data before this date represents backtested performance.
How It Works
The overlay monitors daily macro signals. When CMRS moves to cash, SMHA deploys a momentum-weighted hedge basket. Only assets trading above their 200-day moving average receive allocation from the universe of Treasuries, gold, TIPS, the dollar index, utilities, and short-term bills. Weights are normalized daily across active assets.
The dashboard shows the combined performance: CMRS equity periods plus SMHA's momentum hedge basket during cash periods. The shaded area marks the start of the walk-forward test.
Simulation Settings
Set your start date and initial capital. SMHA overlays CMRS with a momentum-weighted hedge basket during cash periods. Backtest begins January 2010.
Model Performance
Drawdown
Peak-to-trough declineHistorical Position
SPY vs Hedge Basket over timeMacro Regime
Regime classification over timeCurrent Signal
Current Allocation
Walk-Forward Test
Crisis Performance
| Crisis | SMHA | SPY |
|---|---|---|
| 2008 GFC | -- | -55% |
| 2020 Covid | -- | -34% |
| 2022 Bear | -- | -25% |
SMHA vs CMRS vs SPY
| Metric | SMHA | CMRS | SPY |
|---|---|---|---|
| CAGR | -- | -- | -- |
| Volatility | -- | -- | -- |
| Sharpe | -- | -- | -- |
| Max DD | -- | -- | -- |
Regime Allocation Matrix
When CMRS signals CASH, SMHA deploys a momentum-weighted hedge basket. Only assets above their 200-day SMA receive allocation:
Detailed Metrics
Statistical Validation
SMHA was validated using a multi-phase robustness framework before deployment. All tests were conducted on the fixed production strategy.
10,000 random position sequences with identical average market exposure. Fewer than 0.3% matched the observed risk-adjusted return.
95% confidence interval for the Sharpe ratio from 10,000 block bootstrap samples (6-month blocks). Entirely above zero.
Probability that observed Sharpe exceeds what would be expected by chance given the number of trials. Based on Bailey & Lopez de Prado (2014).
Combinatorial purged cross-validation across all non-overlapping splits. Median OOS Sharpe of 0.70, all splits positive.
Increasing noise levels produce monotonically decreasing Sharpe ratios, confirming the model captures genuine signal rather than noise artifacts.
Significant improvement in Sharpe ratio and CVaR reduction versus CMRS standalone. The momentum hedge adds measurable risk-adjusted value.
Validation framework based on White (2000), Politis & Romano (1994), and Bailey & Lopez de Prado (2014). All tests were conducted on the fixed production strategy without post-hoc parameter tuning.