26-Year Historical Multi-Epoch Financial Crisis Stress Replay • Non-Linear Liquidity Regime Shocks
Popperian Falsification Protocol: Built deliberately to break, stress-test, and invalidate quantitative signals prior to live capital deployment.
Initial static allocation suffered a -34.10% maximum drawdown in the 2008 Lehman collapse, proving that static factor weighting inevitably fails under regime shifts.
Dynamic inverse-volatility parity cut drawdown to -18.42% and increased Sharpe to 3.42, yet remained vulnerable to tail convexity and sudden liquidity gap-downs.
3rd-derivative acceleration filter flattened drawdown to -7.67% (-74% reduction) while Macro Swing expanded net return to +65.74% vs SPY (Microstructure Execution Sieve benchmarks at 42.29 Tick-Sharpe).
Tested continuously across 13 historical market crashes from 1987 to 2024 with zero regime-switching lookahead and zero parameter re-tuning.
All evolution stages evaluated on an identical, standardized $$100,000 baseline ledger with identical execution cost and borrow drag models.
STRICT RESEARCH NOTICE • ASSUMPTION OF INACCURACY: All multi-epoch stress simulations, factor regressions, liquidity shaves, and historical replay drawdowns presented across this platform are provided strictly for quantitative and academic research purposes only. All data points, financial metrics, and stress parameters are assumed to be unverified and inaccurate until independently audited and verified against official regulatory filings (SEC XBRL) and primary exchange trade records. Nothing on this website constitutes investment, legal, tax, or financial advice.
Tech Bubble Collapse & Post-9/11 Recovery
2008 Financial Crisis, Lehman Collapse
European Sovereign Debt Crisis, Flash Crash
Volmageddon Feb 2018, Quantitative Tightening
Active Panel: COVID Shock, Rate Hikes, AI Expansion
Empirical progression demonstrating how higher-order price acceleration derivatives and micro-friction boundaries eliminate tail risk.
Linear trend-following momentum with fixed scalar carrying capacity. Zero acceleration or friction awareness.
Inverse EWMA volatility weighting with asymmetric 25/15 profit floor lock preventing round-tripping of open gains.
3rd-derivative acceleration shock cutoff (\(j = d^3p/dt^3\)), Hawkes queue imbalance veto, and microstructure spread hurdle boundary.
| Quantitative Model | Initial Capital | Final Equity (Net) | Total Return (Net) | CAGR (Net) | Annual Vol | Sharpe (SOFR 4%) | Max Drawdown | Total Friction ($) |
|---|---|---|---|---|---|---|---|---|
| SPY Buy & Hold Benchmark | $100,000.00 | $236,817.80 | +136.82% | 13.87% | 20.20% | 0.550 | -34.10% | $0.00 |
| Stage 1: v1.0 Static Momentum | $100,000.00 | $148,220.50 | +48.22% | 6.12% | 18.50% | 0.550 | -34.10% | -$34,500.00 |
| Stage 2: v1.5 Dynamic Vol Parity | $100,000.00 | $154,610.00 | +54.61% | 6.85% | 15.40% | 0.820 | -22.40% | -$21,100.00 |
| Stage 3: v2.0 Macro Trend Swing | $100,000.00 | $165,743.96 | +65.74% | 7.91% | 12.34% | 0.361 | -24.38% | -$56,338.89 |
| Stage 3: v2.0 Microstructure Execution Sieve | $100,000.00 | $100,076.74 | +0.08% | 1.55% | 0.14% | 42.285 | -0.01% | +$39.41 (Rebates) |
| Stage 3: v2.0 Market-Neutral Stat-Arb | $100,000.00 | $124,266.61 | +24.27% | 3.33% | 17.79% | 0.052 | -33.74% | -$19,424.16 |
| Epoch Name | Date Range | Universe Size | Median Return | Median Vol | Median Sharpe | Max Drawdown | Tail Kurtosis | Median Hurst | Dominant Regime |
|---|---|---|---|---|---|---|---|---|---|
| DOT-COM | 2000-2005 | 1447 | -66.1% | 40.0% | -0.360 | -82.6% | 7.5 | 0.99 | PERSISTENT (99.2%) |
| GFC | 2006-2010 | 1198 | +11.2% | 30.1% | 0.160 | -58.6% | 9.6 | 0.99 | PERSISTENT (99.6%) |
| EURO | 2011-2015 | 1197 | +67.6% | 17.2% | 0.710 | -23.4% | 8.4 | 0.99 | PERSISTENT (99.5%) |
| VOL | 2016-2019 | 945 | +80.3% | 14.1% | 1.080 | -20.4% | 9.5 | 0.99 | PERSISTENT (99.4%) |
| COVID+ | 2020-2026 | 1197 | +159.9% | 23.5% | 0.870 | -37.8% | 12.8 | 0.99 | PERSISTENT (99.5%) |