Quantmodel · Strategy research
Permanent Portfolio
Permanent Portfolio receives grade I because no published monthly ours path is available in catalog-monthly.json. Robustness tests need that path.
Factor grades
No published monthly ours series.
Assessment
Statistical edge
Not estimable without a monthly return path.
Bootstrap versus SPY
Not estimable without a monthly return path.
Alpha decay
Not estimable without a monthly return path.
Overfit / stability
Not estimable without a monthly return path.
Transaction costs
Not estimable without a monthly return path.
Regimes and crises
Not estimable without a monthly return path.
Limitations
Re-export catalog-monthly.json after a successful ours backtest, then rebuild strategy-research.
Edge tests
| Test | Statistic | p-value | Significant? |
|---|---|---|---|
| t-test vs zero | — | — | no |
| t-test vs SPY (paired) | — | — | no |
| Wilcoxon vs zero | — | — | — |
Part 1: a strategy that only beats zero but not SPY has no statistically significant edge versus the market.
Monthly return distributions
Strategy versus SPY on the shared window. Input to the t-tests above.
Block bootstrap — 6 months
400 overlapping consecutive-month paths. P(beat SPY) = —. Fan is p10 / p50 / p90 of terminal wealth from $1.
Block bootstrap — 24 months
Same construction at a two-year horizon. P(beat SPY) = —.
Bootstrap excess CDF
Sorted 24-month strategy minus SPY terminal wealth. Fraction above zero is P(beat SPY).
Relative wealth versus SPY
Strategy equity divided by SPY equity. A rising line is persistent outperformance; a late roll-over is decay.
Rolling OLS slope of log relative wealth
12-month window on ln(strategy/SPY). Positive significant slopes are the tutorial's "edge is still there" test.
70/30 chronological split
Train through —. OOS/IS Sharpe ratio —. Walk-forward parameter search is not estimable here; this is the overfit proxy.
Transaction-cost sensitivity
Extra one-way bps applied to average daily turnover, on top of the published (~10 bps) path. Half-Sharpe at beyond 24 bps.
Return-space noise
Gaussian noise scaled by 12-month rolling vol. Not an OHLC re-backtest. Critical multiplier (Sharpe halves): not reached.
SPY regimes
Seven trend/vol states on a 12-month SPY window. Mean monthly return of strategy versus SPY in each state.
Named crisis windows
| Episode | Status | Strategy | SPY |
|---|---|---|---|
| Dot-com bust | not_estimable — no published monthly path | — | — |
| Global Financial Crisis | not_estimable — no published monthly path | — | — |
| COVID crash | not_estimable — no published monthly path | — | — |
| 2022 inflation shock | not_estimable — no published monthly path | — | — |
Growth of $1
Published path versus SPY, 60/40 when present, and a leave-one-out catalog mix. Context only — not a scoring factor.
Drawdown
Related tools
- Strategy report — open (ok) Open the strategy report for whatever allocation or replication data exists.