Combined StrategiesCore researchlive in production

Regime Router

Updated dailyData needs: lowlong onlyshort onlylong short

2016

Daniel-Moskowitz (2016, JFE) "Momentum Crashes" + Asness-Frazzini-

In plain terms

Different alpha sleeves win in different regimes — trend in calm markets, reversion in choppy markets, defense in crises. This routes between them.

How it works

Daniel-Moskowitz (2016, JFE) "Momentum Crashes" + Asness-Frazzini-Israel-Moskowitz "Factor Timing": different alpha sleeves work in different regimes. We classify the regime as TREND (VIX<20 AND SPY>200d MA), REVERSION (VIX>25 OR SPY<200d MA), or CRISIS (VIX>35 AND falling SPY) and route the position: trend follower when TREND, 5d-reversion when REVERSION, short-only TSMOM when CRISIS. Distinct from regime_overlay which only gates a single signal.

Live results

28 times picked on its own · 111 times inside a blend (85 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 111 such blended picks (85 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

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