Strategy Performance
v10 risk-aware allocation strategy · backtested across 6 selected market windows · historical backtests generated with BlackSwan API signals
Backtested windows
Returns below are total returns over each window (not annualized). Each window is a selected historical episode; results are historical backtests, not live trading performance.
- Bull 2024-20262024-01-01 → 2026-06-30 · total return
- GFC 2007-20092007-02-01 → 2009-06-30 · total return
- Dotcom 2000-20022000-03-01 → 2002-10-31 · total return
- 2018Q4 Trade War2018-10-01 → 2018-12-31 · total return
- 2022 Rate Hike2022-01-03 → 2022-12-30 · total return
- 2020 COVID Crash2020-02-19 → 2020-08-31 · total return
Detailed data
| Window | Market | v10 Return | SPY Return | v10 Max DD | SPY Max DD | Note |
|---|---|---|---|---|---|---|
| Bull 2024-2026 | Bull | +40% | +62.8% | -14.3% | -18.8% | Bull sacrifice 22.8pp (by design) |
| GFC 2007-2009 | Sharp bear | +58.6% | -15.9% | -13% | -55.2% | Excess +74.5pp |
| Dotcom 2000-2002 | Slow bear | -0.8% | -36.9% | -8.3% | -47.5% | Excess +36.1pp |
| 2018Q4 Trade War | Policy shock | +13.1% | +20% | -6.3% | -19.4% | Drawdown cut by 68% |
| 2022 Rate Hike | Rates+inflation | -11.7% | +1.1% | -21.2% | -24.5% | Weak spot: lower drawdown, but underperformed SPY |
| 2020 COVID Crash | Flash crash | +45.6% | +37.7% | -7.6% | -33.7% | Excess +7.9pp, Sharpe 1.79 |
Key profile
🛡️ Asymmetric risk-return
~23pp sacrificed in bulls, but in the two crash windows (GFC +74.5pp, dotcom +36.1pp) the strategy delivers 110pp+ combined excess over SPY — trading bull gains for crisis protection.
📉 Drawdown control
Max drawdown was no worse than -14.3% in 5 of 6 windows; in the selected crisis windows (GFC, dotcom, COVID) drawdown was kept to roughly one quarter of SPY. Beta ≈ 0 in crises — decoupled from the market.
🧠 Three-module architecture
BlackSwan API risk signals (expected drawdown / persistence / path match) → three-level regime (attack/neutral/defend) → rate-environment detection.
⚠️ Known limits & methodology
The 2022 rate-hike bear lost money (-11.7%) and underperformed SPY (+1.1%); drawdown (-21.2%) was the worst of the six windows. API queries filter events by as_of_date; full point-in-time integrity has not yet been independently audited. Backtests do not reflect live trading costs, slippage or execution beyond modeled values.