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: 21/28 names hold their 200-day trend with contained volatility (30% annualized). Risk signals are quiet, but drawdown discipline still applies.
Stress score
7/100
risk-on
Volatility
Elevated
30.1% ann. · +6% vs 60d
Breadth
Broad
21/28 above SMA200
Momentum
Leading
+2.7% avg 20d
Liquidity
Thinning
25% lower today
Updated 2026-07-11 09:20 · As of 2026-07-10 · 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 → July 10, 2026 · 5 strategies · simulated research
Return since May
+0.6%
Max drawdown
-0.7%
Sharpe
1.17
Excess vs SPY
-4.4%
SPY +5.0%
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
80/100
Avg regime fit
66/100
Catalyst sensitivity
45/100
Observation eligible
2/5
Low-Volatility Rotation
JPM · radar candidate
86
Risk 7Regime 53Factor moderate
Defensive Trend Pullback
CAT · radar candidate
82
Risk 10Regime 49Factor low
ATR Channel Expansion
GOOGL · continue observing
79
Risk 13Regime 77Factor 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.