Strategy
Regime Overlay
Scales exposure down when trend, volatility or breadth deteriorate.
Research only
Methodology
- Method
- 200-day trend, 15% volatility target and breadth; decided at the close, applied next day; can only reduce exposure.
- Data
- Daily bars
- Horizon
- Daily
- Strategy pod
- — (research study, no pod)
Risk caveat
Costs return in recoveries and whipsaws.
Validation evidence
Reduces drawdowns; the risk-adjusted gain is not significant and the return cost is. Research only.
Simulated, survivorship-biased backtests on today's large caps. Hypothetical; not a forecast. Disclosures.