L2 Strategies
Strategy Backtest List
Each card is produced from real market data or explicitly labeled fallback data, strategy rules, long-only backtests, and calculated metrics.
Market Regime Monitor
Risk-On Regime Active
Constructive tape: 19/28 names hold their 200-day trend with contained volatility (24% annualized). Risk signals are quiet, but drawdown discipline still applies.
Stress score
19/100
risk-on
Volatility
Normal
23.6% ann. · -3% vs 60d
Breadth
Broad
19/28 above SMA200
Momentum
Leading
+2.5% avg 20d
Liquidity
Orderly
79% lower today
Updated 2026-10-24 02:42 · As of 2026-10-23 · Real market dataStrategy performance should be interpreted under the current regime. Research only — not investment advice.
Since May · Simulated
Strategy Basket Since May
May 1, 2026 → October 23, 2026 · 5 strategies · simulated research
Return since May
-0.4%
Max drawdown
-0.9%
Sharpe
-0.58
Excess vs SPY
-6.4%
SPY +6.0%
Equal-weighted blend of top-ranked research strategies, normalized on the start date. Not a real-money account. Historical performance does not indicate future results.
Stress Diagnostics Summary
Stable / Watch / Under Stress, classified under the current regime3
Resilient
2
Watch
0
Under stress
5
Paper-suitable
Strategy Quality Matrix
Each model is scored across quality, risk, factor exposure, regime fit, and catalyst sensitivity before it can enter simulated observation.
Avg quality
76/100
Avg regime fit
82/100
Catalyst sensitivity
45/100
Observation eligible
1/5
Defensive Trend Pullback
AAPL · radar candidate
81
Risk 6Regime 65Factor low
Low-Volatility Rotation
WMT · continue observing
79
Risk 9Regime 69Factor moderate
EMA Continuation Signal
CAT · continue observing
77
Risk 20Regime 90Factor high
Methodology / Assumptions
- Signals are generated from completed daily bars and modeled with next-open execution.
- Backtests include strategy-level slippage, per-trade fees, stops, trailing stops, and max-holding exits where defined.
- No intraday fills, market impact, margin, shorts, options, or live order routing are modeled.
- Strategy metrics come from the backtest engine and remain unchanged by memo text.