Regime Detector — Tactical Asset Allocation Strategy
Multi-signal regime detection system for SSO/SHV rotation. Monitors 6 macro indicators (price trend, VIX, ADX, credit spreads, canary assets, breadth) to build a composite score. Uses time-based confirmation (15-day slow exit, 3-day fast exit) to avoid whipsaws while catching structural bear markets.
Backtest Performance (1991-08-16 to 2026-04-07)
| Metric | Regime Detector |
|---|---|
| Compound Annual Growth Rate (CAGR) | 13.8% |
| Maximum Drawdown | -65.6% |
| Sharpe Ratio | 0.66 |
| Sortino Ratio | 0.76 |
| Annualized Volatility | 24.0% |
| Calmar Ratio | 0.21 |
| Total Return | 8765.8% |
| Backtest Period | 34.6 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- daily
- Risk Level
- aggressive
- Variants
- 2
- Author
- Neat_Bug1775 (Reddit)
Track Regime Detector in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.