Live System Status
Live System
Status
Paper trading since April 10, 2026. Updated daily at 4:00 PM ET.
Portfolio
→73% defensive assets, 23% equity, 4% cash. The portfolio is positioned for capital preservation with selective equity exposure in the highest-scoring risk assets.
In a Crisis regime the system overweights capital-preservation assets — Japanese yen, short-duration treasuries, gold, inflation-protected bonds — while retaining a measured equity sleeve in non-US developed and small-cap exposures that scored highest on the walk-forward ML ensemble as of the last rebalance.
Current Positions
11 positions — April 10, 2026 entry| Ticker | Name | Weight | Entry Price | P&L |
|---|---|---|---|---|
| FXY | Invesco CurrencyShares Japanese Yen | 12.8% | $62.41 | +0.12% |
| SHY | iShares 1-3 Year Treasury Bond | 12.5% | $82.14 | +0.04% |
| GLD | SPDR Gold Shares | 12.1% | $308.50 | +0.09% |
| IWM | iShares Russell 2000 ETF | 10.4% | $194.82 | −0.31% |
| VGK | Vanguard FTSE Europe ETF | 9.8% | $67.23 | +0.18% |
| SLV | iShares Silver Trust | 8.7% | $28.94 | +0.22% |
| TIP | iShares TIPS Bond ETF | 8.3% | $107.61 | +0.01% |
| HYG | iShares iBoxx High Yield Corp Bond | 7.1% | $77.45 | −0.08% |
| AGG | iShares Core US Aggregate Bond | 6.9% | $95.12 | +0.03% |
| IEF | iShares 7-10 Year Treasury Bond | 6.4% | $93.78 | +0.06% |
| LQD | iShares iBoxx Investment Grade Corp | 5.0% | $103.22 | −0.02% |
Defense
Layer
Circuit Breakers
All clear.
No positions are near trailing stop thresholds. The widest unrealized loss in the book is −0.31% on IWM, well inside the 8% position-level circuit breaker.
Drawdown Controller
NORMAL
Current portfolio drawdown: 0.0%. The drawdown controller enters CAUTION at −8% and DEFENSIVE at −15%. No action required. Running at full gross exposure.
Exposure Scaler
1.28×
Realized volatility 9.4% annualized vs. 12% target. The scaler increases gross exposure when realized vol runs below target, maintaining consistent portfolio-level volatility regardless of market conditions.
Regime
History
April 10, 2026 Crisis detected — 100% confidence
The Hidden Markov Model classified the market into the Crisis regime with 100% posterior probability on April 10, 2026 — the first live signal date. Macro features driving the classification: elevated cross-asset volatility, inverted credit spreads, and deteriorating breadth across the equity universe. The portfolio was constructed regime-conditionally from inception: maximum defensive weighting with selective retention of highest-scoring equity exposures.
Walk-Forward OOS — 2022 Crisis → Contraction transition
During the 2022 rate-shock period the model correctly identified a shift from Expansion to Crisis at the February–March 2022 inflection, triggering a defensive reallocation. The portfolio exited equity-heavy positioning before peak drawdown in equities. This period is the basis for the two-layer tail architecture — 2022 revealed that duration and gold provided no hedge credit as stock-bond correlation flipped positive.
Walk-Forward OOS — 2020 Expansion → Crisis → Recovery
March 2020 stress test. The model transitioned from Expansion to Crisis within a 5-day window. Fast-crash conditions favor the direct convexity sleeve. The system maintained out-of-sample max drawdown of −13.2% against an SPY drawdown of −33.8% during the same window. Recovery reclassification occurred in May 2020 as macro features normalized.
Walk-Forward OOS — 2008 Crisis — full cycle
The 2008 financial crisis is the canonical slow-drawdown archetype. The model entered Crisis classification in Q4 2007 and maintained it through Q1 2009. Over this period the portfolio achieved positive absolute returns (+4.2% OOS) against SPY −50.2%. The drawdown controller engaged DEFENSIVE state at −10% portfolio drawdown in October 2008 and returned to NORMAL in March 2009 following five consecutive Expansion classification days.
OVRWCH publishes system performance for informational and educational purposes only. Not investment advice. Past performance does not guarantee future results. Paper trading since April 10, 2026. Full terms.