Macro and intermarket: 19 Backtests
Data last updated
Rules that read one market, such as the dollar or credit spreads, to time another.
6 of 19 strategies finished ahead of the benchmark on the raw number, and 0 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.
Strategies here tested on crypto, ETFs, US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| BTC dominance trend (price-based stand-in) as altcoin risk-on rotation signal receipt Source: common crypto-market altseason heuristic (BTC.D rotation) | crypto | +13.2 pts/yr | 395 rebalances | 0.306 | 1.000 | On-site receipt |
| High-yield credit spread widening risk-off signal receipt Source: Gilchrist & Zakrajsek 2012 American Economic Review (excess bond premium / credit spreads) | ETFs | +4.7 pts/yr | 1,053 rebalances | 0.053 | 0.870 | On-site receipt |
| Control: sit out 5 sessions after a bank's own 2-sigma 5-day drop receipt Source: none published (Tickfloor research-desk test) | US stocks | +2.8 pts/yr | 228 trades | 0.276 | 1.000 | On-site receipt |
| Oil price shock (WTI 3-month spike) as equity headwind filter receipt Source: Hamilton 1983 Journal of Monetary Economics; Kilian 2009 American Economic Review | ETFs | +2.1 pts/yr | 242 rebalances | 0.136 | 1.000 | On-site receipt |
| Consumer discretionary vs staples ratio (XLY/XLP) as risk-on/off rotation signal receipt Source: Sam Stovall 'Sector Investing' (S&P sector rotation framework); Fidelity/State Street sector strategist commentary | ETFs | +0.6 pts/yr | 5,081 rebalances | 0.364 | 1.000 | On-site receipt |
| 10Y TIPS breakeven inflation rate regime for equity/gold allocation receipt Source: Bridgewater All Weather growth-inflation quadrant framework; FRED T10YIE | ETFs | +0.1 pts/yr | 1,044 rebalances | 0.472 | 1.000 | On-site receipt |
| Static low real-yield-beta sector tilt (frozen control) (12 sector ETFs) receipt Source: none published (Tickfloor research-desk test) | ETFs | −2.1 pts/yr | 2,071 rebalances | 1.000 | 1.000 | On-site receipt |
| 2s10s flattening shock leads bank stocks by 1-5 days receipt Source: Cross-asset lead-lag / gradual information diffusion (Hong & Stein 1999) applied to the curve-slope -> bank NIM channel; FRED T10Y2Y | US stocks | −2.2 pts/yr | 250 trades | 1.000 | 1.000 | On-site receipt |
| USD broad index 50d ROC inverse signal on risk assets receipt Source: FRED DTWEXBGS (Fed H.10 broad dollar index); dollar-smile / risk-asset inverse-dollar folklore | ETFs | −2.8 pts/yr | 22 trades | 1.000 | 1.000 | On-site receipt |
| Static high real-yield-beta sector tilt (frozen control B) (12 sector ETFs) receipt Source: none published (Tickfloor research-desk test) | ETFs | −3.6 pts/yr | 2,070 rebalances | 1.000 | 1.000 | On-site receipt |
| USD broad index 50d ROC inverse signal on risk assets (wide US stocks) receipt Source: FRED DTWEXBGS (Fed H.10 broad dollar index); dollar-smile / risk-asset inverse-dollar folklore | US stocks | −3.8 pts/yr | 1,876 trades | 1.000 | 1.000 | On-site receipt |
| 10Y real yield (TIPS) inverse regime for BTC (gold leg omitted) (wide US stocks) receipt Source: standard real-yield / hard-asset macro heuristic (e.g. Fed real-rate discussions of gold/BTC) | US stocks | −4.0 pts/yr | 13,806 trades | 1.000 | 1.000 | On-site receipt |
| VIX term structure equity timing (QQQ+DIA universe) (wide US stocks) receipt Source: Simon & Campasano 2014 Journal of Derivatives; CBOE VIX/VIX3M | US stocks | −4.8 pts/yr | 7,846 trades | 1.000 | 1.000 | On-site receipt |
| VIX futures term structure (contango/backwardation) equity timing receipt Source: Simon & Campasano 2014 Journal of Derivatives; CBOE VIX/VIX3M | ETFs | −5.1 pts/yr | 95 trades | 1.000 | 1.000 | On-site receipt Full test: VIX Term Structure Timing |
| Static low real-yield-beta sector tilt (frozen control) receipt Source: none published (Tickfloor research-desk test) | ETFs | −5.9 pts/yr | 2,086 rebalances | 1.000 | 1.000 | On-site receipt |
| Static high real-yield-beta sector tilt (frozen control B) receipt Source: none published (Tickfloor research-desk test) | ETFs | −7.2 pts/yr | 2,085 rebalances | 1.000 | 1.000 | On-site receipt |
| Real-yield 5-day move leads the equity sector cross-section via duration beta (12 sector ETFs) receipt Source: Cross-asset lead-lag / gradual information diffusion (Hong-Stein) | ETFs | −8.8 pts/yr | 2,070 rebalances | 1.000 | 1.000 | On-site receipt |
| Real-yield 5-day move leads the equity sector cross-section via duration beta receipt Source: Cross-asset lead-lag / gradual information diffusion (Hong-Stein) | ETFs | −8.9 pts/yr | 2,085 rebalances | 1.000 | 1.000 | On-site receipt |
| 10Y real yield (TIPS) inverse regime for BTC (gold leg omitted) receipt Source: standard real-yield / hard-asset macro heuristic (e.g. Fed real-rate discussions of gold/BTC) | crypto | −11.7 pts/yr | 103 trades | 1.000 | 1.000 | On-site receipt |
- BTC dominance trend (price-based stand-in) as altcoin risk-on rotation signal
crypto · +13.2 pts/yr · 395 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- common crypto-market altseason heuristic (BTC.D rotation)
- p-value
- 0.306
- Corrected q
- 1.000
- Receipt
- On-site receipt
- High-yield credit spread widening risk-off signal
ETFs · +4.7 pts/yr · 1,053 rebalances · corrected q 0.870
Source, p-value and result file
- Source
- Gilchrist & Zakrajsek 2012 American Economic Review (excess bond premium / credit spreads)
- p-value
- 0.053
- Corrected q
- 0.870
- Receipt
- On-site receipt
- Control: sit out 5 sessions after a bank's own 2-sigma 5-day drop
US stocks · +2.8 pts/yr · 228 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.276
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Oil price shock (WTI 3-month spike) as equity headwind filter
ETFs · +2.1 pts/yr · 242 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Hamilton 1983 Journal of Monetary Economics; Kilian 2009 American Economic Review
- p-value
- 0.136
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Consumer discretionary vs staples ratio (XLY/XLP) as risk-on/off rotation signal
ETFs · +0.6 pts/yr · 5,081 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Sam Stovall 'Sector Investing' (S&P sector rotation framework); Fidelity/State Street sector strategist commentary
- p-value
- 0.364
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 10Y TIPS breakeven inflation rate regime for equity/gold allocation
ETFs · +0.1 pts/yr · 1,044 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Bridgewater All Weather growth-inflation quadrant framework; FRED T10YIE
- p-value
- 0.472
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Static low real-yield-beta sector tilt (frozen control) (12 sector ETFs)
ETFs · −2.1 pts/yr · 2,071 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 2s10s flattening shock leads bank stocks by 1-5 days
US stocks · −2.2 pts/yr · 250 trades · corrected q 1.000
Source, p-value and result file
- Source
- Cross-asset lead-lag / gradual information diffusion (Hong & Stein 1999) applied to the curve-slope -> bank NIM channel; FRED T10Y2Y
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- USD broad index 50d ROC inverse signal on risk assets
ETFs · −2.8 pts/yr · 22 trades · corrected q 1.000
Source, p-value and result file
- Source
- FRED DTWEXBGS (Fed H.10 broad dollar index); dollar-smile / risk-asset inverse-dollar folklore
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Static high real-yield-beta sector tilt (frozen control B) (12 sector ETFs)
ETFs · −3.6 pts/yr · 2,070 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- USD broad index 50d ROC inverse signal on risk assets (wide US stocks)
US stocks · −3.8 pts/yr · 1,876 trades · corrected q 1.000
Source, p-value and result file
- Source
- FRED DTWEXBGS (Fed H.10 broad dollar index); dollar-smile / risk-asset inverse-dollar folklore
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 10Y real yield (TIPS) inverse regime for BTC (gold leg omitted) (wide US stocks)
US stocks · −4.0 pts/yr · 13,806 trades · corrected q 1.000
Source, p-value and result file
- Source
- standard real-yield / hard-asset macro heuristic (e.g. Fed real-rate discussions of gold/BTC)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX term structure equity timing (QQQ+DIA universe) (wide US stocks)
US stocks · −4.8 pts/yr · 7,846 trades · corrected q 1.000
Source, p-value and result file
- Source
- Simon & Campasano 2014 Journal of Derivatives; CBOE VIX/VIX3M
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX futures term structure (contango/backwardation) equity timing
ETFs · −5.1 pts/yr · 95 trades · corrected q 1.000
Full test: VIX Term Structure Timing
Source, p-value and result file
- Source
- Simon & Campasano 2014 Journal of Derivatives; CBOE VIX/VIX3M
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Static low real-yield-beta sector tilt (frozen control)
ETFs · −5.9 pts/yr · 2,086 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Static high real-yield-beta sector tilt (frozen control B)
ETFs · −7.2 pts/yr · 2,085 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Real-yield 5-day move leads the equity sector cross-section via duration beta (12 sector ETFs)
ETFs · −8.8 pts/yr · 2,070 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Cross-asset lead-lag / gradual information diffusion (Hong-Stein)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Real-yield 5-day move leads the equity sector cross-section via duration beta
ETFs · −8.9 pts/yr · 2,085 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Cross-asset lead-lag / gradual information diffusion (Hong-Stein)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 10Y real yield (TIPS) inverse regime for BTC (gold leg omitted)
crypto · −11.7 pts/yr · 103 trades · corrected q 1.000
Source, p-value and result file
- Source
- standard real-yield / hard-asset macro heuristic (e.g. Fed real-rate discussions of gold/BTC)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.