Macro: 6 Backtests

We backtested 6 macro strategies across crypto, ETFs, US stocks. 0 beat buy-and-hold before correction; best −0.0 pts/yr.

Every result below is the strategy's annualized return minus buy-and-hold on the same assets and days, charged real trading costs and scored only on data up to the discovery cutoff. See the full family index, the full method and every result, or download the raw registry (JSON).

0 of these 6 strategies were significant at p < 0.05 before any correction for multiple testing, and 0 of 6 beat buy-and-hold on the raw excess-return number across crypto, ETFs, US stocks. Across the whole registry, spanning every family, we ran 444 tests and applied one Benjamini-Hochberg correction; only 0 of those survived it, which is why a single significant p-value inside one family isn't treated as a working edge here: the correction is explained in full on the evidence page. This family was last re-scored on 2026-09-26, using only data up to the 2025-03-15 discovery cutoff, the same freeze point every family in the registry is held to, so none of them can see data the others couldn't. Macro is tested across 3 asset classes (crypto, ETFs, US stocks); a strategy only joins this family because of the signal it trades on, not the asset it's tested against.

Domestic sectors when the dollar strengthens, exporters when it weakens (ETFs): −0.0 pts/yr, behind buy-and-hold, p=1.000. Source: Jorion 1990 J. Business (exchange-rate exposure of US multinationals); Bartov & Bodnar 1994 JF; S&P Dow Jones Indices 'S&P 500 Global Sales' (technology, materials and energy earn the largest foreign shares; utilities, real estate and financials the smallest). Weak prior..
Gold or bonds by the 3-month change in the dollar (ETFs): −0.7 pts/yr, behind buy-and-hold, p=1.000. Source: Capie, Mills & Wood 2005 J. Int. Financial Markets (gold as a hedge against the dollar); Menkhoff, Sarno, Schmeling & Schrimpf 2012 JFE (currency momentum). Positively dependent with r27-gld-agg-realyield (disclosed)..
Sector rotation by beta to the yield-curve slope (ETFs): −0.9 pts/yr, behind buy-and-hold, p=1.000. Source: Bernanke & Kuttner 2005 JF (sector sensitivity to rate news); sweep150 t06-4; the deferred rule r25-rate-beta-sector-rotation frozen on 2026-09-25 (its beta, window and switch are taken as written; the weekly decision day and the data plumbing are fixed here).
Gold or bonds by the 3-month change in real yields (ETFs): −1.3 pts/yr, behind buy-and-hold, p=1.000. Source: Erb & Harvey 2013 FAJ 'The Golden Dilemma' (gold's real price moves inversely with real yields); Baur & Lucey 2010 Financial Review.
Bank stocks when the yield curve steepens (wide US stocks) (US stocks): −2.1 pts/yr, behind buy-and-hold, p=1.000. Source: English, Van den Heuvel & Zakrajšek 2018 JME 'Interest rate risk and bank equity valuations' (bank stocks fall when the curve flattens); Flannery & James 1984 JF.
Crypto 4-week momentum, flat while the dollar strengthens (crypto): −26.3 pts/yr, behind buy-and-hold, p=1.000. Source: Avdjiev, Du, Koch & Shin 2019 AER: Insights (stronger dollar tightens cross-border dollar funding); Lustig, Roussanov & Verdelhan 2014 RFS (dollar factor); Bruno & Shin 2015 JME.