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Composite (2-signal) · equal-weight top-5 · monthly rebalance · vs ACWI · point-in-time safe
Last run 10/5/2026, 7:00:36 AM · 123 months
See also: /backtest/iptm-signal — IPTM regime-exposure → ETF-return signal test (null result, published honestly).
docs/STRATEGY_2026-05-01.md).weight × z — the signed contribution of that signal to the composite score. Green = favourable, red = adverse, grey = neutral or signal missing.| Country | Score | Signal contributions | Raw values |
|---|---|---|---|
| Top 5 (buy candidates) | |||
| ID | +0.31 | MOM: 0.00NC: +0.31 | cpi — · mom 0% |
| CN | +0.25 | MOM: 0.00NC: +0.25 | cpi — · mom 0% |
| IT | +0.24 | MOM: 0.00NC: +0.24 | cpi — · mom 0% |
| MX | +0.22 | MOM: 0.00NC: +0.22 | cpi — · mom 0% |
| FR | +0.21 | MOM: 0.00NC: +0.21 | cpi — · mom 0% |
| Bottom 5 (avoid) | |||
| AU | 0.00 | MOM: 0.00NC: — | cpi — · mom 0% |
| CA | -0.04 | MOM: 0.00NC: -0.04 | cpi — · mom 0% |
| JP | -0.10 | MOM: 0.00NC: -0.10 | cpi — · mom 0% |
| TR | -0.82 | MOM: 0.00NC: -0.83 | cpi — · mom 0% |
| AR | -1.25 | MOM: 0.00NC: -1.25 | cpi — · mom 0% |
| Year | Months | Portfolio | Benchmark | Outperf. |
|---|---|---|---|---|
| 2016 | 12 | +13.00% | +17.78% | -4.79% |
| 2017 | 12 | +28.40% | +27.70% | +0.69% |
| 2018 | 12 | -15.21% | -7.11% | -8.10% |
| 2019 | 12 | -5.77% | +15.49% | -21.26% |
| 2020 | 12 | +8.13% | +17.67% | -9.54% |
| 2021 | 12 | +15.27% | +13.62% | +1.65% |
| 2022 | 12 | +11.59% | -8.06% | +19.65% |
| 2023 | 12 | +7.98% | +14.06% | -6.08% |
| 2024 | 12 | +8.70% | +20.81% | -12.11% |
| 2025 | 12 | +43.63% | +22.05% | +21.58% |
| 2026 | 3 | +10.00% | +3.72% | +6.28% |
scripts/py/backtest/composite_v3b.py · home