Macro and intermarket: 11 Backtests

We backtested 11 macro and intermarket strategies across crypto, ETFs, US stocks. 5 beat buy-and-hold before correction; best +13.2 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 11 strategies were significant at p < 0.05 before any correction for multiple testing, and 5 of 11 beat buy-and-hold on the raw excess-return number across crypto, ETFs, US stocks. Across the whole registry we ran 260 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 2026-09-18, 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 and intermarket 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.

BTC dominance trend (price-based stand-in) as altcoin risk-on rotation signal (crypto): +13.2 pts/yr, behind buy-and-hold, p=0.306. Source: common crypto-market altseason heuristic (BTC.D rotation).
High-yield credit spread widening risk-off signal (ETFs): +4.7 pts/yr, behind buy-and-hold, p=0.053. Source: Gilchrist & Zakrajsek 2012 American Economic Review (excess bond premium / credit spreads).
Oil price shock (WTI 3-month spike) as equity headwind filter (ETFs): +2.1 pts/yr, behind buy-and-hold, p=0.136. Source: Hamilton 1983 Journal of Monetary Economics; Kilian 2009 American Economic Review.
Consumer discretionary vs staples ratio (XLY/XLP) as risk-on/off rotation signal (ETFs): +0.6 pts/yr, behind buy-and-hold, p=0.364. Source: Sam Stovall 'Sector Investing' (S&P sector rotation framework); Fidelity/State Street sector strategist commentary.
10Y TIPS breakeven inflation rate regime for equity/gold allocation (ETFs): +0.1 pts/yr, behind buy-and-hold, p=0.472. Source: Bridgewater All Weather growth-inflation quadrant framework; FRED T10YIE.
USD broad index 50d ROC inverse signal on risk assets (ETFs): −2.8 pts/yr, behind buy-and-hold, p=1.000. Source: FRED DTWEXBGS (Fed H.10 broad dollar index); dollar-smile / risk-asset inverse-dollar folklore.
USD broad index 50d ROC inverse signal on risk assets (wide US stocks) (US stocks): −3.8 pts/yr, behind buy-and-hold, p=1.000. Source: FRED DTWEXBGS (Fed H.10 broad dollar index); dollar-smile / risk-asset inverse-dollar folklore.
10Y real yield (TIPS) inverse regime for BTC (gold leg omitted) (wide US stocks) (US stocks): −4.0 pts/yr, behind buy-and-hold, p=1.000. Source: standard real-yield / hard-asset macro heuristic (e.g. Fed real-rate discussions of gold/BTC).
VIX term structure equity timing (QQQ+DIA universe) (wide US stocks) (US stocks): −4.8 pts/yr, behind buy-and-hold, p=1.000. Source: Simon & Campasano 2014 Journal of Derivatives; CBOE VIX/VIX3M.
VIX futures term structure (contango/backwardation) equity timing (ETFs): −5.1 pts/yr, behind buy-and-hold, p=1.000. Source: Simon & Campasano 2014 Journal of Derivatives; CBOE VIX/VIX3M.
10Y real yield (TIPS) inverse regime for BTC (gold leg omitted) (crypto): −11.7 pts/yr, behind buy-and-hold, p=1.000. Source: standard real-yield / hard-asset macro heuristic (e.g. Fed real-rate discussions of gold/BTC).