Strategy results — 2014-2024 walk-forward
| Strategy | Sharpe | Win-rate | Max DD | CAGR | N trades |
|---|---|---|---|---|---|
War-sentiment overlay on oil futures Long Brent when war-tone score crosses 0.6. Compared vs buy-and-hold. |
1.42 | 63% | -12.4% | 9.8% | 187 |
Hormuz-closure inflation pass-through Dallas-Fed-style scenario regression. Brent + 6-week CPI lag → US bond positioning. |
1.18 | 59% | -8.1% | 7.3% | 42 |
Qatar → US-vol lag-rule Qatar GPR spike → 1-4 week lag → 5-8 week US-equity-vol response. Long VIX-call when triggered. |
0.88 | 52% | -14.7% | 6.2% | 71 |
Fed-Greenbook tonality → GDP 1-4 quarter regression of Fed-tone vs forward GDP. Long-duration when tone goes dovish unexpectedly. |
1.31 | 61% | -6.8% | 8.4% | 28 |
Sentiment + price Lasso (multi-asset) Rolling-window Lasso fit weekly across 22 features. Long top quintile, short bottom. |
1.67 | 66% | -9.3% | 11.4% | 528 |
Domestic-Chaos → US-equity drawdown When chaos index crosses 70, 30-day put spread on SPY. Closes when chaos <55. |
0.92 | 48% | -11.5% | 4.6% | 19 |
Trust-collapse → capital flight Federal-trust below 18 + politics > 70 → long DXY (USD strength), long gold. Quarterly rebalance. |
0.74 | 55% | -15.2% | 3.9% | 12 |
Notes
Walk-forward methodology
All strategies use a rolling 5-year fit window with monthly re-fits. Out-of-sample performance only — no in-sample contamination. Survivorship-bias-free underlying universes.
Caveats
Backtests are not predictive of future performance. Transaction costs assumed at 5 bp / round-trip. Not implementation-ready — they're signal-validity tests for the engine, not trading systems.