Backtest
Asset Performance by Regime
We ran the Alphameter over 7,567 trading days (1996-03-11 to 2026-04-10) and measured 33 assets across US equities, international indices, forex, commodities, crypto, and bonds. Each asset is assigned to the regime where it delivered its highest annualized return.
Regime Distribution
1996-03-11 — 2026-04-10 · 7,567 trading daysHow to Read This
Each card shows one asset's historical returns broken down by the Alphameter's regime classification on that day. Annualized return shows what you'd earn per year if only invested during that regime. Compounded shows the total cumulative return during that regime. Max DD is the worst peak-to-trough drawdown experienced within that regime's trading days.
The regime with the highest annualized return for each asset is highlighted with a ★ and background color. Assets are grouped by their best-performing regime — this assignment is purely data-driven, not manually chosen.
US Equities
11 assets
US Equities
11 assetsS&P 500, Nasdaq 100, sectors, and thematic ETFs — the core of the Alphameter universe.
🔴 Risk-Off Assets(11)
These assets outperform during risk-off regimes. When the Alphameter signals danger, capital flows into these safe havens, pushing prices higher.
S&P 500 ETF
SPYThe benchmark US large-cap index.
Why this regime: SPY benefits from risk-on momentum and risk-off buy-the-dip recoveries under v3 weights.
Nasdaq 100
QQQTop 100 non-financial Nasdaq stocks. Heavy tech/growth weighting.
Why this regime: Higher beta than SPY — amplifies gains in risk-on.
Russell 2000
IWMUS small-cap stocks. More economically sensitive than large-caps.
Why this regime: Small-caps need both market momentum AND healthy economic fundamentals.
Tech Sector
XLKTechnology Select Sector SPDR.
Why this regime: Growth stocks with earnings momentum thrive during risk-on.
Semiconductors
SMHVanEck Semiconductor ETF. Nvidia, TSMC, Broadcom.
Why this regime: High-beta cyclical sector and leading indicator of AI infrastructure demand.
Energy
XLEEnergy Select Sector SPDR.
Why this regime: Energy is regime-context dependent. Geopolitical risk-off can spike oil.
Cons. Discretionary
XLYConsumer Discretionary Select Sector. Amazon, Tesla, Home Depot.
Why this regime: Consumer spending on non-essentials surges during risk-on.
Cons. Staples
XLPConsumer Staples Select Sector.
Why this regime: Defensive sector with steady cash flows regardless of economic cycle.
Utilities
XLUUtilities Select Sector.
Why this regime: Regulated monopolies with predictable earnings. Outperforms during risk-off.
Div. Aristocrats
NOBLProShares S&P 500 Dividend Aristocrats. 25+ years of consecutive dividend increases.
Why this regime: The ultimate quality screen for constant-weight defensive positioning.
Div. Quality
SCHDSchwab US Dividend Equity ETF. High-quality dividend payers.
Why this regime: Quality factor with dividend income. Lower drawdowns than broad market.
International
5 assets
International
5 assetsNon-US indices tested against US-centric regime signals. Capital rotation patterns emerge when US markets signal risk.
🟢 Risk-On Assets(3)
These assets deliver their highest annualized returns during risk-on regimes. They benefit most from confirmed risk appetite and broad market strength.
Nikkei 225
^N225Japan's flagship stock index.
Why this regime: Nikkei responds to yen dynamics and global risk appetite.
Hang Seng
^HSIHong Kong flagship index.
Why this regime: Highly sensitive to China growth expectations and risk appetite.
ASX 200
^AXJOAustralia's benchmark index.
Why this regime: Resource-heavy with banking. Tracks commodity cycles and AUD.
🟡 Neutral Assets(1)
These assets perform best during neutral regimes — the long grind higher that makes up the majority of trading days. They compound steadily regardless of sentiment extremes.
DAX
^GDAXIGerman blue-chip index.
Why this regime: Export-heavy index sensitive to global trade and risk appetite.
🔴 Risk-Off Assets(1)
These assets outperform during risk-off regimes. When the Alphameter signals danger, capital flows into these safe havens, pushing prices higher.
FTSE 100
^FTSEUK large-cap index.
Why this regime: Defensive, dividend-heavy UK equities with international earnings.
Forex
6 assets
Forex
6 assetsMajor currency pairs. The Alphameter reveals how dollar strength cycles through regimes.
🟢 Risk-On Assets(3)
These assets deliver their highest annualized returns during risk-on regimes. They benefit most from confirmed risk appetite and broad market strength.
EUR/USD
EURUSDEuro vs US Dollar.
Why this regime: EUR/USD rises when dollar weakens (risk-on) and falls during risk-off.
AUD/USD
AUDUSDAustralian Dollar vs US Dollar.
Why this regime: AUD is a commodity/carry currency — strong during risk-on.
GBP/USD
GBPUSDBritish Pound vs US Dollar.
Why this regime: Cable trades with risk sentiment and UK economic outlook.
🟡 Neutral Assets(1)
These assets perform best during neutral regimes — the long grind higher that makes up the majority of trading days. They compound steadily regardless of sentiment extremes.
USD/JPY
USDJPYUS Dollar vs Japanese Yen.
Why this regime: JPY strengthens during risk-off (carry unwind).
🔴 Risk-Off Assets(2)
These assets outperform during risk-off regimes. When the Alphameter signals danger, capital flows into these safe havens, pushing prices higher.
USD/CHF
USDCHFUS Dollar vs Swiss Franc.
Why this regime: CHF is a safe-haven currency — strengthens during risk-off.
USD/CAD
USDCADUS Dollar vs Canadian Dollar.
Why this regime: CAD weakens during risk-off (oil and commodity correlation).
Commodities
5 assets
Commodities
5 assetsGold, uranium, and other hard assets that respond to inflation expectations and flight-to-safety flows.
🟢 Risk-On Assets(1)
These assets deliver their highest annualized returns during risk-on regimes. They benefit most from confirmed risk appetite and broad market strength.
Oil
USOUnited States Oil Fund.
Why this regime: Oil tracks global growth expectations. Strong during risk-on.
🟡 Neutral Assets(1)
These assets perform best during neutral regimes — the long grind higher that makes up the majority of trading days. They compound steadily regardless of sentiment extremes.
Copper
CPERUnited States Copper Index Fund.
Why this regime: Dr. Copper — the metal with a PhD in economics. Tracks global growth.
🔴 Risk-Off Assets(3)
These assets outperform during risk-off regimes. When the Alphameter signals danger, capital flows into these safe havens, pushing prices higher.
Gold
GLDSPDR Gold Shares.
Why this regime: The ultimate safe haven. Gold performs during risk-off and inflationary regimes.
Silver
SLViShares Silver Trust.
Why this regime: Silver has both industrial and monetary demand — amplifies gold's moves.
Uranium
URNMSprott Uranium Miners ETF.
Why this regime: Uranium is a secular supply story. Geopolitical risk-off events drive supply fears.
Crypto
3 assets
Crypto
3 assetsDigital assets with high volatility and strong correlation to risk appetite cycles.
🟢 Risk-On Assets(3)
These assets deliver their highest annualized returns during risk-on regimes. They benefit most from confirmed risk appetite and broad market strength.
Bitcoin
BTC-USDBitcoin.
Why this regime: The Alphameter's strongest regime separation. Risk-off historically net negative for BTC.
Ethereum
ETH-USDEthereum.
Why this regime: Higher beta than BTC. Amplifies crypto risk-on and risk-off moves.
Solana
SOL-USDSolana.
Why this regime: Highest beta crypto in the universe. Extreme regime sensitivity.
Bonds
3 assets
Bonds
3 assetsUS Treasury ETFs across durations. The classic flight-to-safety trade during risk-off regimes.
🔴 Risk-Off Assets(3)
These assets outperform during risk-off regimes. When the Alphameter signals danger, capital flows into these safe havens, pushing prices higher.
Bonds (20Y+)
TLTiShares 20+ Year Treasury Bond ETF.
Why this regime: The classic flight-to-safety trade. Doubles exposure during risk-off.
Bonds (7-10Y)
IEFiShares 7-10 Year Treasury Bond ETF.
Why this regime: Lower volatility than TLT but still benefits from flight-to-safety flows.
Bonds (1-3Y)
SHYiShares 1-3 Year Treasury Bond ETF.
Why this regime: Cash-equivalent with minimal duration risk. Stabilizer.
Key Takeaways
Risk-On Rewards the Bold
High-beta assets like BTC (+133% ann.), Hang Seng (+40%), and DAX (+25%) deliver their best returns during risk-on. Despite being only ~12% of trading days, risk-on periods produce outsized gains for momentum-sensitive assets.
Neutral Is Where Markets Grind
SPY and QQQ earn 76-82% of their total P&L during neutral regimes. EUR/USD also peaks during neutral (+8.1% ann.). The long grind higher that makes up ~62% of trading days is where buy-and-hold actually works.
International Indices Love Risk-Off
The Nikkei (+25%), FTSE (+15.6%), and Hang Seng (+17.5%) all deliver strong risk-off returns. When the US-centric Alphameter signals danger, capital rotates into non-US markets — a powerful diversification signal.
Forex Follows the Dollar
EUR/USD collapses during risk-off (-9.7% ann.) as capital flows into USD safe haven. AUD/USD counterintuitively peaks during risk-off (+6.6%) — commodity demand and anti-USD rotation override the "risk currency" label.
Bitcoin, Brent, Copper, Gold, Silver — all tradeable on FTMO simulated accounts up to $400k.
Frequently Asked Questions
What is a market regime backtest?▼
A market regime backtest applies historical regime classifications (risk-on, neutral, risk-off) to actual asset price data to measure how each asset performed during each regime. This reveals which assets thrive in which conditions and helps build regime-aware portfolios.
How many years of data does the Alphameter backtest cover?▼
The Alphameter market regime data goes back to 1996, giving up to 30 years of history for assets that existed then (like SPY, gold, and major forex pairs). Newer assets have shorter histories — Bitcoin from 2014, Ethereum from 2017, Solana from 2020. Each asset card shows its exact data range.
Which assets perform best in a risk-off market?▼
Based on Alphameter regime data, strong risk-off performers include Silver (SLV), long-duration Treasury bonds (TLT), and the Nikkei 225 which benefits from contrarian capital rotation out of the US during periods of fear. Each asset's exact annualised return by regime is shown on its backtest card.
Which assets perform best in a risk-on market?▼
Strong risk-on performers include Oil (USO), Copper (CPER), and high-beta crypto assets like Solana and Bitcoin. These are growth and commodity assets that benefit most from confirmed risk appetite. Note that crypto assets have shorter data histories (5-8 years) compared to traditional assets.
Does Bitcoin perform better in risk-on or risk-off?▼
Bitcoin shows its highest annualised returns during risk-on periods, but with extreme variance. Bitcoin sits in the top 5 performers across all three Alphameter regimes — it rewards patient holders regardless of the macro state.