01
Score
Every morning before the opening bell, the KNN model scores macro conditions on a -100 to +100 scale using 6 cross-asset features — volatility, credit spreads, commodity ratios, momentum.
[ Track Record ]
Model vs S&P 500
The same algo that runs every morning — replayed since January 2020. Long when Risk-On, short when Risk-Off, cash when Neutral. Includes 5 bps trading friction.
Macro Bias
+286.47%
S&P 500
+111.10%
Alpha
+175.37%
Jan 2, 2020 — Apr 10, 2026 · 1576 sessions
Macro Bias SignalS&P 500 Buy & Hold
Methodology
How it works
02
Position
Long SPY when the score exceeds +20 (Risk-On). Short SPY when below −20 (Risk-Off). Cash in the Neutral zone. A 5 bps friction on every position change. No leverage, no options.
03
No lookahead
Each day’s score is computed using only prior data. The chart shows the exact same algorithm and parameters that run in production today.
FAQ
Is this backtested or live?
Both. The algo runs live every trading day. This chart replays the same model against every session since Jan 2020 to show a longer track record. Each day uses only data available at the time — no lookahead. A 5 bps trading friction is included.
Can I verify these numbers?
Yes. Pull SPY daily closes from Yahoo Finance. Apply the strategy: long when the score exceeds +20, short when below −20, cash otherwise. Include 5 bps friction per position change. You’ll get the same equity curve.
What happens on news-driven days?
The model reads macro conditions, not headlines. Some news-driven days it gets wrong — tariff announcements, Fed surprises. The chart includes those days too. No cherry-picking.
Get the signal before the bell
Daily scores, regime calls, and a full market briefing — delivered before 9:30 AM ET. 7-day free trial.