merged_cs_ra_steve_live_v1
Pipeline: Merged cross-sectional momentum + regime-adaptive ETF allocation; T close signal, T+1 open execution; base live Steve strategy.
Backtest: 2007-01-03 → 2026-05-26
| periods/year: 252
| generated: 2026-05-27 02:59
Performance Metrics
Gross
| Sharpe | 0.797 |
|---|---|
| CAGR | +10.89% |
| Ann Vol | 14.26% |
| Max DD | -33.55% |
| Calmar | 0.325 |
| Sortino | 1.026 |
| Win Rate | 54.21% |
| VaR 95% | -1.387% |
| CVaR 95% | -2.141% |
| Best Day | +7.919% |
| Worst Day | -6.693% |
| Days | 4,879 |
Net of TC
| Sharpe | 0.714 |
|---|---|
| CAGR | +9.59% |
| Ann Vol | 14.25% |
| Max DD | -34.13% |
| Calmar | 0.281 |
| Sortino | 0.919 |
| Win Rate | 54.01% |
| VaR 95% | -1.389% |
| CVaR 95% | -2.147% |
| Best Day | +7.909% |
| Worst Day | -6.703% |
| Days | 4,879 |
Cumulative Return
Drawdown
Monthly Return Heatmap (% / month, gross)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | +0.00 | +0.00 | +0.00 | +0.00 | +2.08 | +1.00 | -0.63 | +0.68 | +7.20 | +8.30 | -2.91 | +3.90 | +20.79 |
| 2008 | +5.02 | +6.58 | -1.25 | +3.83 | +2.81 | +2.45 | -3.77 | -4.03 | -4.32 | -13.15 | -0.54 | +8.46 | +0.10 |
| 2009 | -5.38 | -3.62 | +6.27 | +2.19 | +6.88 | -2.52 | +7.26 | +1.28 | +6.20 | -3.17 | +7.08 | +0.65 | +24.24 |
| 2010 | -5.37 | +3.17 | +5.88 | +2.57 | -2.91 | -1.95 | +3.64 | +3.19 | +3.60 | +0.68 | -0.53 | +2.78 | +15.08 |
| 2011 | +1.78 | +4.02 | +0.79 | +2.74 | -2.98 | -2.60 | +1.65 | +1.16 | -3.75 | +9.54 | +0.25 | -3.36 | +8.82 |
| 2012 | +4.87 | +0.86 | +2.65 | -1.18 | -4.26 | -0.18 | +2.79 | +1.88 | +0.73 | -2.97 | +1.64 | +1.95 | +8.74 |
| 2013 | +1.91 | -1.08 | +1.82 | +2.80 | +0.13 | -3.49 | +5.43 | -2.58 | +0.63 | +1.73 | +1.73 | +1.13 | +10.30 |
| 2014 | -2.24 | +4.30 | -0.70 | -0.19 | +2.38 | +1.47 | -0.85 | +2.10 | -4.02 | +0.53 | +2.60 | -1.10 | +4.06 |
| 2015 | +0.91 | +0.81 | +0.08 | -0.59 | +0.48 | -1.51 | -0.17 | -1.21 | -1.10 | +5.31 | -2.17 | -1.51 | -0.88 |
| 2016 | -3.94 | +3.28 | +2.17 | +0.97 | -1.46 | +6.99 | -0.36 | -0.69 | +0.10 | -3.64 | -1.51 | +2.67 | +4.15 |
| 2017 | +1.17 | +2.19 | +1.78 | +0.85 | -0.86 | +0.17 | +2.54 | +2.11 | +0.82 | +2.64 | +1.58 | +1.42 | +17.64 |
| 2018 | +4.92 | -2.96 | -1.23 | +1.34 | +2.05 | -0.17 | -0.66 | +2.08 | -0.35 | -7.11 | -2.09 | -3.60 | -8.02 |
| 2019 | +3.99 | -0.71 | +1.70 | +0.70 | -2.76 | +6.20 | +0.43 | +5.98 | -0.37 | +0.98 | -0.10 | +1.20 | +18.22 |
| 2020 | +0.09 | -6.26 | -7.00 | +11.29 | +6.64 | +4.88 | +9.42 | +1.98 | -3.13 | -1.81 | +3.24 | +5.87 | +25.99 |
| 2021 | +1.79 | +0.48 | +0.52 | +3.50 | +1.39 | +1.86 | +0.70 | +0.42 | -1.08 | +4.90 | -1.90 | +5.25 | +19.07 |
| 2022 | -3.54 | -0.64 | +2.03 | -3.22 | +1.79 | -6.68 | +3.55 | -2.70 | -5.92 | +2.84 | +5.25 | -2.73 | -10.30 |
| 2023 | +5.17 | -5.49 | +3.40 | +1.09 | +0.92 | +3.91 | +2.81 | -2.21 | -4.16 | +0.03 | +2.40 | +3.34 | +11.13 |
| 2024 | +0.19 | +1.90 | +3.31 | -3.02 | +3.61 | +2.60 | +2.20 | +0.63 | +2.11 | -0.70 | +0.72 | -3.13 | +10.62 |
| 2025 | +4.16 | -0.06 | -1.71 | +0.17 | +2.72 | +3.46 | -0.62 | +3.88 | +7.02 | +2.09 | +1.20 | -0.35 | +23.90 |
| 2026 | +9.02 | +6.33 | -3.73 | +3.38 | +0.99 | — | — | — | — | — | — | — | +16.51 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $5M |
|---|---|---|
| Fee Signal | −0.3950% | −$19,751/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −0.7901% | −$39,503/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −1.1851% NAV/yr | −$59,254/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −0.002% | −0.000% | −0.002% |
| $25M | −0.005% | −0.000% | −0.005% |
| $100M | −0.011% | −0.000% | −0.011% |
| $500M | −0.024% | −0.000% | −0.024% |
| $1.0B | −0.034% | −0.000% | −0.034% |
| $2.5B | −0.053% | −0.000% | −0.053% |
| $5.0B | −0.075% | −0.000% | −0.075% |
| $10.0B | −0.107% | −0.000% | −0.107% |
Capacity — Per-Instrument Participation Rate
Max-day participation = (peak trade size × AUM / notional) ÷ ADV. Binding constraint is typically 5–10% for clean execution.
| Instrument | $100M | $500M | $1.0B | $2.5B | $5.0B | $10.0B |
|---|---|---|---|---|---|---|
| DBC | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| EFA | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| EEM | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| GLD | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| TLT | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| IWM | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| QQQ | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| SPY | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)