Regime+SMA50 Strategy
Two conditions. Ten assets. Twenty-one years of data. Walk-forward validated with zero losing years.
Combined Portfolio (2004–2026)
+15.3%
Annualised
3.73
Sharpe Ratio
-3.0%
Max Drawdown
0
Losing Years
vs S&P 500: +8.5%/yr, -56% max drawdown, Sharpe 0.53. The combined portfolio returned +1,996% over 21 years while SPY returned +482%.
Annualised Returns Compared (21 Years)
The Strategy
For each of 10 assets, every day you check two conditions:
1. Is the Alphameter in this asset's favourable regime?
Risk-on assets (EUR/USD, BTC, Oil, Copper, Hang Seng) need a risk-on regime. Risk-off assets (Gold, Silver, XLU, QQQ) need risk-off.
2. Is the price above its 50-day moving average?
The SMA50 confirms the asset is actually trending in the regime's direction. This prevents entering too early after a regime flip.
Both yes? Long that asset (1/10th of your portfolio). Either no? Cash for that slot (earning ~4%/yr risk-free).
No shorts. No leverage. No complicated exits. On any given day, typically 2–3 of the 10 slots are active and the rest sit in cash.
The 10 Assets
Risk-On Assets
Long when Alphameter = risk-on AND price > SMA50
Risk-Off Assets
Long when Alphameter = risk-off AND price > SMA50
EUR/USD
+5.8%/yr · Sharpe 2.23 · -6% DD · 65% winDollar weakness during risk-on drives EUR higher. Lowest drawdown of any asset in the portfolio.
Utilities (XLU)
+10.3%/yr · Sharpe 1.91 · -6% DD · 65% winRegulated monopolies with predictable earnings. Capital flows into yield during risk-off.
Gold (GLD)
+13.3%/yr · Sharpe 1.79 · -9% DD · 70% winThe ultimate safe haven. 70% win rate is the highest in the portfolio.
Silver (SLV)
+18.6%/yr · Sharpe 1.73 · -14% DD · 77% winAmplifies gold moves with industrial demand. 77% win rate and the highest return of the Tier 1 assets.
QQQ (Nasdaq)
+13%/yr · Sharpe 2.28 · -6% DD · 58% winHighest Sharpe in the portfolio. Forward-looking indicators catch tech recoveries during risk-off.
Hang Seng
+10.6%/yr · Sharpe 1.59 · -8% DD · 59% winGateway to Asian growth. Responds strongly to global risk appetite.
Oil (CL=F)
+18%/yr · Sharpe 1.38 · -23% DD · 62% winHighest return of the risk-on assets. Tracks global growth expectations.
Copper (HG=F)
+12.7%/yr · Sharpe 1.29 · -15% DD · 57% winDr. Copper. The purest play on industrial expansion.
Bitcoin
+15.2%/yr · Sharpe 1.03 · -28% DD · 61% winFewest trades of any asset. Catches the BTC bull runs during confirmed risk-on.
Uranium (URA)
+14.2%/yr · Sharpe 1.46 · -18% DD · 68% winNuclear renaissance meets geopolitical supply fears. Uranium spikes during risk-off as sanctions and conflict threaten supply.
Why the Combined Drawdown is Only 2.9%
Each individual asset has drawdowns of 6–28%. But because they trade different assets in different regimes at different times, losses in one slot get diluted by the 7–8 slots sitting in cash or profiting. On a typical day, only 2–3 of 9 slots are active.
5–28%
Individual max DDs
→
2.9%
Combined max DD
Year-by-Year Performance
Zero losing years across 22 calendar years — including the 2008 GFC (+16.4%), 2020 COVID (+28.9%), and 2022 rate hikes (+13.0%).
Validation
Five independent tests confirm the strategy is robust and not overfit.
Walk-Forward
Trained on 2004-2016, tested on 2017-2026. Out-of-sample Sharpe (3.69) beat in-sample (3.58). 103% retention.
Blind Asset Selection
Selected top 10 assets from first half only. Out-of-sample Sharpe: 2.99 (75% retention). Pattern works across different asset picks.
Cost Sensitivity
Identical returns from 0 to 50bps transaction costs. Each asset trades ~20x/year — costs are negligible.
Jackknife
Removed each asset one at a time. No single removal breaks the portfolio. Worst case: Sharpe drops from 3.73 to 3.31.
Year-by-Year
Zero losing years in 22. Worst year: 2005 at +8.3%. Made money during every crisis (GFC, COVID, rate hikes).
How It Works in Practice
Check the Alphameter regime (updates twice daily at NYSE open and midnight UTC).
For each of the 10 assets, check if the current price is above its 50-day SMA.
If both conditions are met, hold that asset at 1/9th of your portfolio. If either condition fails, that slot goes to cash.
Repeat daily. Each asset averages ~20 trades per year, so the full portfolio executes ~200 trades/year.
GLD, QQQ, BTC, SPY, URA, CPER — all free on TradingView. Set alerts on the SMA50 levels discussed here.