Backtest
Asset Performance by Episode Regime
We ran the Alphameter over 7,628 trading days (1996-03-11 to 2026-07-03) and measured 38 assets across US equities, international indices, forex, commodities, crypto, and bonds — bucketing each daily return into the risk-on or risk-off episode it occurred in.
Episode Regime Distribution
1996-03-11 — 2026-07-03 · 7,525 directional daysEpisode logic: 103 genuine neutral days (1996–2026) excluded. Brief neutral dips within directional episodes are counted as continuations.
How to Read This
Each card shows one asset's historical returns split by episode regime — the days when the Alphameter was in a sustained risk-on or risk-off episode. Annualized return shows what you'd earn per year if only invested during that regime. Compounded shows the total cumulative return across all days in that regime. Max DD is the worst peak-to-trough drawdown within that regime.
The regime with the higher annualized return is highlighted with a ★ and a background tint. Assets are grouped within each class by their best episode regime — purely data-driven.
Episode logic: only 103 genuinely neutral days exist in 30 years. Brief neutral dips within an ongoing directional episode are treated as continuations of that episode. This gives cleaner separation between the two regimes.
US Equities
13 assets
US Equities
13 assetsS&P 500, Nasdaq 100, sectors, and thematic ETFs — the core of the Alphameter universe.
🟢 Best in Risk-On(12)
These assets deliver their highest annualized returns during risk-on episodes. Under episode logic, brief neutral dips within an ongoing trend are treated as continuations — only genuine regime flips stop the clock.
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 the Alphameter's episode regimes.
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.
Space ETF
UFOProcure Space ETF — global space industry exposure (satellite operators, launch, defence/space contractors).
Why this regime: High-beta thematic risk-on play. Concentrated in volatile growth names — should amplify risk-on rallies.
🔴 Best in Risk-Off(1)
These assets outperform during risk-off episodes. When genuine fear takes hold, capital rotates into these assets — bonds, safe-haven currencies, and counter-cyclical plays.
Copper Miners
COPXGlobal X Copper Miners ETF. Diversified pure-play exposure to global copper mining companies.
Why this regime: Geared equity exposure to the copper cycle — amplifies copper price moves via operating leverage of miners. Structural analog to URNM for the AI electrification thesis.
International
6 assets
International
6 assetsNon-US indices tested against the US-centric regime signal. Capital rotation patterns emerge when the Alphameter signals risk-on or risk-off.
🟢 Best in Risk-On(6)
These assets deliver their highest annualized returns during risk-on episodes. Under episode logic, brief neutral dips within an ongoing trend are treated as continuations — only genuine regime flips stop the clock.
Nikkei 225
^N225Japan's flagship stock index.
Why this regime: Nikkei responds to yen dynamics and global risk appetite.
FTSE 100
^FTSEUK large-cap index.
Why this regime: Defensive, dividend-heavy UK equities with international earnings.
DAX
^GDAXIGerman blue-chip index.
Why this regime: Export-heavy index sensitive to global trade and 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.
Seraphim Space
SSIT.LSeraphim Space Investment Trust (LSE). Closed-end exposure to private and public space-economy companies — satellite operators, launch, defence/space contractors.
Why this regime: High-beta thematic risk-on play with extreme regime separation. Concentrated in volatile growth names — strong risk-on returns, severe drawdowns when the regime flips.
Forex
8 assets
Forex
8 assetsMajor currency pairs. The Alphameter reveals how dollar strength cycles through episodes.
🟢 Best in Risk-On(7)
These assets deliver their highest annualized returns during risk-on episodes. Under episode logic, brief neutral dips within an ongoing trend are treated as continuations — only genuine regime flips stop the clock.
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.
USD/JPY
USDJPYUS Dollar vs Japanese Yen.
Why this regime: JPY strengthens during risk-off (carry unwind).
USD/CAD
USDCADUS Dollar vs Canadian Dollar.
Why this regime: CAD weakens during risk-off (oil and commodity correlation).
AUD/JPY
AUDJPYAustralian Dollar vs Japanese Yen. The classic carry trade and risk appetite barometer.
Why this regime: AUD/JPY is the purest risk sentiment pair — AUD is a commodity currency, JPY the ultimate safe haven. Rises sharply during risk-on, collapses during risk-off carry unwinds.
EUR/AUD
EURAUDEuro vs Australian Dollar.
Why this regime: EUR/AUD rises when AUD weakens — typically during risk-off when commodity currencies sell off. Falls when risk appetite returns and AUD outperforms EUR.
🔴 Best in Risk-Off(1)
These assets outperform during risk-off episodes. When genuine fear takes hold, capital rotates into these assets — bonds, safe-haven currencies, and counter-cyclical plays.
USD/CHF
USDCHFUS Dollar vs Swiss Franc.
Why this regime: CHF is a safe-haven currency — strengthens during risk-off.
Commodities
6 assets
Commodities
6 assetsGold, silver, oil, copper, and uranium — hard assets that respond to inflation expectations, growth signals, and flight-to-safety flows.
🟢 Best in Risk-On(4)
These assets deliver their highest annualized returns during risk-on episodes. Under episode logic, brief neutral dips within an ongoing trend are treated as continuations — only genuine regime flips stop the clock.
Silver
SLViShares Silver Trust.
Why this regime: Silver has both industrial and monetary demand — amplifies gold's moves.
Oil
USOUnited States Oil Fund.
Why this regime: Oil tracks global growth expectations. Strong during risk-on.
Brent Crude
BZ=FBrent Crude Oil Futures. Global benchmark for oil pricing.
Why this regime: Brent is the global oil benchmark. Tracks growth expectations and geopolitical risk premium — pure risk-on energy play.
Uranium
URNMSprott Uranium Miners ETF.
Why this regime: Uranium is a secular supply story. Geopolitical risk-off events drive supply fears.
🔴 Best in Risk-Off(2)
These assets outperform during risk-off episodes. When genuine fear takes hold, capital rotates into these assets — bonds, safe-haven currencies, and counter-cyclical plays.
Gold
GLDSPDR Gold Shares.
Why this regime: The ultimate safe haven. Gold performs during risk-off and inflationary regimes.
Copper
CPERUnited States Copper Index Fund.
Why this regime: Dr. Copper — the metal with a PhD in economics. Tracks global growth.
Crypto
2 assets
Crypto
2 assetsDigital assets with high volatility and strong correlation to risk appetite episodes.
🟢 Best in Risk-On(2)
These assets deliver their highest annualized returns during risk-on episodes. Under episode logic, brief neutral dips within an ongoing trend are treated as continuations — only genuine regime flips stop the clock.
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.
Bonds
3 assets
Bonds
3 assetsUS Treasury ETFs across durations. The classic flight-to-safety trade — cleaner under episode logic since genuine risk-off periods are isolated.
🔴 Best in Risk-Off(3)
These assets outperform during risk-off episodes. When genuine fear takes hold, capital rotates into these assets — bonds, safe-haven currencies, and counter-cyclical plays.
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 High Beta
BTC (+62.0%/yr), Brent (+33.2%), and USO (+27.1%) deliver their best returns during risk-on episodes — and are the names whose risk-on edge survived split-half stability testing. The episode filter keeps you in during genuine bull runs and cuts exposure before real regime flips.
Risk-Off Has Real Winners
Quality dividend equities and gold historically stay positive during fear episodes, while high-beta cyclicals bleed. Individual risk-off rankings are rank-noise between historical halves (2026 stability audit), so trust the class behaviour, not any specific ordering — the validated defensive deployment is the TLT/GLD rotation basket.
Broad Indices Are Surprisingly Symmetric
SPY +11.1%/yr risk-on vs +8.8% risk-off. QQQ +18.5%/yr risk-on vs +7.9% risk-off. Diversified indices earn in both regimes under episode logic — but the drawdowns are concentrated in risk-off (SPY -58.5% MDD vs -30.9%). The path matters more than the average return.
Forex Follows the Dollar Cycle
EUR/USD shines risk-on (+3.1%/yr) as the dollar weakens with global risk appetite. AUD/USD is muted (-0.7%/yr risk-on, +1.0%/yr risk-off) — the carry component dampens the risk-on tailwind. In risk-off, the dollar strengthens and most pairs fall. The episode filter removes the choppy ambiguous days that dilute the signal.
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 or 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 episode 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, Seraphim Space (SSIT.L) and UFO from 2019-2021. Each asset card shows its exact data range.
What is the episode regime logic?▼
Episode logic treats brief neutral dips within an ongoing directional regime as continuations of that episode, not genuine flips. Only 103 genuinely neutral days exist in 30 years of data — all in one stretch in 1996. This means the backtest runs on pure risk-on and risk-off days only, removing the ambiguous middle — giving cleaner signal separation.
Which assets perform best in a risk-off episode?▼
Individual risk-off rankings failed a 2026 stability audit — the ordering flips between historical halves, so we no longer publish a ranked risk-off list. What holds up is class-level behaviour: quality dividend equities and gold historically earn positive returns in risk-off episodes while high-beta cyclicals lose. The validated deployment is the rotation framework — defensive basket (TLT/GLD) during risk-off episodes — rather than picking individual risk-off winners. Each asset card shows its own by-regime numbers with its data range.
Which assets perform best in a risk-on episode?▼
Risk-on rankings are only weakly stable between historical halves, so treat the ordering loosely. The names that survived split-half stability testing are Bitcoin (+62.0%/yr risk-on) and oil — Brent +33.2%/yr and WTI (USO) +27.1%. Other thematic assets like Seraphim Space, ETH, and URNM show even higher risk-on numbers but on shorter histories with unstable rankings. High-beta equities such as QQQ (+18.5%) and SMH (+17.6%) round out the picture.
Does Bitcoin perform better in risk-on or risk-off?▼
Bitcoin shows dramatically higher annualised returns during risk-on episodes (+62.0%/yr vs +8.3%/yr risk-off). Risk-off BTC is still positive — but the bulk of the compounding happens in risk-on, and that's where the episode signal is most useful for sizing exposure.