As part of the rework of our hedge signal that began this summer, our first step was to take a closer look at the bear-market component. Vincent already touched on this in the project explanation blog post, but for the sake of completeness, here is a short reminder of how it works. Our hedge signal operates in two distinct modes. In their original work, Jennifer and Vincent found that the “standard” metrics used by the strategy did not perform reliably during bear markets. Bear markets are...

For the past month and a half, Bitcoin did almost nothing. Price drifted in a narrow band, day after day, and by some measures this was the quietest stretch in the asset's entire history. Volatility this compressed is rare, and it never lasts forever. We were actually preparing an update on this last week. Vincent ran an analysis on the compression and the honest conclusion was that there was no guiding pattern forming at that point. Similar squeezes in the past have resolved in both...

Yesterday, the Margin Risk Signal flipped back to On Margin. The short version: we are bringing the model portfolio to 100% invested, through QQQ, and we are stopping there. No borrowed money, no leverage this time. The rest of this post explains both halves of that decision. In our last post, we described a market that was consolidating without showing a clear trend. The data simply was not leaning far enough in either direction to call it a meaningful shift. Since then, the SPY has...