StratScout detects the market regime, picks the best ETFs for it, and re-tunes its own parameters every 14 days on trailing data, then trades blind. Every result below is fully out-of-sample.
Four steps, fully automated, zero discretion.
Compare AGG vs BIL (90-day return) to determine risk-on or risk-off. Compare TLT vs BIL to split risk-off into rising-rate vs falling-rate. No prediction - just measurement.
Every 14 days, a random-search optimizer runs 300 trials on the trailing 12 months of data, split across 3 sub-windows for overfit resistance. It finds the ETF mix and sizing that maximizes risk-adjusted returns (Calmar ratio).
The winning parameters trade the next 14-day period with no further adjustment. No peeking at future data. Every period in the results below was traded this way.
The cycle restarts. Old data rolls off, new data comes in. The optimizer never uses the same period twice as training and validation.
The signal is two ratios. The regime drives the entire ETF selection.
When AGG > BIL: rotate into top-ranked leveraged ETFs - SOXL, TQQQ, TECL and peers, weighted by momentum + inverse-vol blend.
When AGG < BIL and TLT < BIL: hold cash (BIL) or inverse ETFs. Backtests show BIL wins 145 of 218 periods in this regime - cash beats decaying inverse funds.
When AGG < BIL and TLT > BIL: rotate into UGL, GLD, KMLM, DBMF, TAIL, XLP. Near-zero equity correlation, positive in drawdowns.
2018-01-01 → present. $10,000 starting capital. Every period is out-of-sample, meaning parameters were optimized only on data prior to that period. Runs are statistically independent (different random seeds).
| Configuration | Median NAV | Median CAGR | Median Max DD | Median Calmar |
|---|---|---|---|---|
| Random Universe | $114,700 | +31.1% | 36.5% | 0.92 |
| Curated Universe | $214,897 | +44.4% | 37.4% | 1.14 |
| Curated + HoF Seeded | $314,970 | +50.5% | 29.5% | 1.70 |
| SPY buy-and-hold | $34,798 | +13.1% | 34% | 0.39 |
More runs completing. Table will be updated as r3–r5 finish. Prior 5-run benchmark (pool expansion): mean $231k, 41.2% CAGR, 35.1% MaxDD.
Things you should know before trusting these numbers.
* One extended run covers 2007-present (494 periods). During the 2008-2009 crisis window, the strategy grew $10k to $29k with a 34.5% max drawdown, as the regime signal rotated out of equities early. That run uses a partially different ETF universe since several current instruments did not exist pre-2010.
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