Oneiros Vision v5.2 Apex
Performance Tear Sheet
All performance results are derived from historical backtesting. No live trading track record exists. See Disclosures for methodology details.
1. Executive Summary
Oneiros Vision is a regime and risk-allocation overlay. The Master Danger Index (MDI) determines when market structure is supportive, transitional, fractured, or critical. The MDI forecasts forward volatility and drawdown risk, allowing institutions to adjust risk budgets mathematically rather than emotionally.
This document is structured in two layers: Layer 1 evaluates the raw MDI signal independent of any portfolio implementation. Layer 2 demonstrates the signal applied to a fixed, illustrative ETF chassis ("Option A"). Sections 10 and 11 extend this audit with sensitivity studies on the CRITICAL sleeve composition and implementation robustness.
2. Layer 1: The Master Danger Index (MDI) Signal
The core value of the engine lies in its ability to predict structural market fractures before they occur.
Forward Volatility & Drawdown Forecast
| Regime | Fwd 21D SPY Vol | Fwd 21D SPY Max DD | % Trading Days | % SPY Worst 1% |
|---|---|---|---|---|
| CALM | 11.90% | -2.91% | 25.7% | 4.8% |
| CHOP | 12.89% | -3.09% | 42.5% | 16.7% |
| WARNING | 18.24% | -4.59% | 27.5% | 47.6% |
| CRITICAL | 25.59% | -5.92% | 4.3% | 31.0% |
Key Finding: The MDI is perfectly monotonic on forward volatility and forward drawdown. The defensive regimes (WARNING and CRITICAL) account for only 31.8% of all trading days but capture 78.6% of the S&P 500's worst 1% of daily selloffs.
3. Key Performance Indicators (KPIs)
All reported Apex returns are net of a 2 bps per-leg transaction-cost assumption.
| Metric | Oneiros Vision Apex (Base 2bps) | 60/40 (SPY/IEF) | S&P 500 (SPY) |
|---|---|---|---|
| Cumulative Return | 563.19% | 383.56% | 820.92% |
| Annualized Return (CAGR) | 12.06% | 9.95% | 14.30% |
| Annualized Volatility | 11.23% | 9.93% | 17.09% |
| Maximum Drawdown | -15.28% | -21.02% | -33.72% |
| Sharpe Ratio | 0.94 | 0.86 | 0.78 |
| Sortino Ratio | 1.31 | 1.22 | 1.10 |
| Calmar Ratio | 0.79 | 0.47 | 0.42 |
| Win Rate (Profitable Years) | 82.4% (14/17) | — | — |
Against a standard 60/40 capital preservation mandate, the Apex implementation generates +2.1pp of annualized return while reducing maximum drawdown by 27%.
Methodology note: Sharpe and Sortino are computed from the annualized arithmetic mean of daily excess returns over volatility (resp. downside deviation). Calmar uses CAGR / Maximum Drawdown. See kpi_calculator.py for the exact formulas.
3.2 Capture Ratios & Worst-Month Behaviour
Over the 16-year period, the reference implementation achieved an Up-Capture of 64.6% and a Down-Capture of 58.6% relative to the S&P 500.
| Month | SPY Return | 60/40 Return | Apex Return |
|---|---|---|---|
| 2020-03 (COVID) | -12.49% | -5.33% | +0.28% |
| 2022-09 | -9.24% | -7.42% | -3.46% |
| 2018-12 (Volmageddon) | -8.80% | -4.24% | -0.49% |
| 2022-04 | -8.78% | -6.93% | -2.42% |
| 2022-06 | -8.25% | -5.28% | -1.26% |
| AVERAGE | -8.37% | -4.66% | -2.22% |
Showing 5 of 10 worst SPY months. Full table available in the complete tear sheet documentation.
4. Complete Annual Returns Profile
| Year | Apex Return | Apex Max DD | SPY Return | 60/40 Return |
|---|---|---|---|---|
| 2010 | 17.02% | -11.27% | 15.06% | 13.14% |
| 2011 | 3.82% | -7.60% | 1.90% | 8.30% |
| 2012 | 17.69% | -10.12% | 15.99% | 11.26% |
| 2013 | 25.38% | -6.01% | 32.31% | 15.60% |
| 2014 | 6.67% | -6.46% | 13.46% | 11.96% |
| 2015 | -8.76% | -13.63% | 1.23% | 1.77% |
| 2016 | 7.38% | -5.86% | 12.00% | 7.79% |
| 2017 | 25.60% | -3.59% | 21.71% | 13.76% |
| 2018 | 6.39% | -9.73% | -4.57% | -1.96% |
| 2019 | 15.79% | -6.47% | 31.22% | 21.77% |
| 2020 | 23.90% | -11.12% | 18.33% | 16.92% |
| 2021 | 20.01% | -6.76% | 28.73% | 15.08% |
| 2022 | -12.44% | -13.36% | -18.18% | -16.39% |
| 2023 | 29.45% | -7.50% | 26.18% | 16.97% |
| 2024 | 12.54% | -7.13% | 24.89% | 14.24% |
| 2025 | 21.15% | -5.75% | 17.72% | 14.32% |
| 2026† | -0.44% | -8.21% | 12.91% | 7.04% |
†Partial period: January 1 – August 25, 2026. A capital preservation overlay inherently possesses a low structural beta (0.40). During a massive 12.9% risk-on rally, underperformance is the mathematical reality of maintaining a defensive posture.
5. Maximum Drawdown Analysis
Overall Maximum Drawdown Profile
| Crisis Event | Date Range | Apex DD | 60/40 DD | SPY DD |
|---|---|---|---|---|
| 2022 H1 Rate Shock | Jan 2022 – Oct 2022 | -11.39% | -20.67% | -24.50% |
| 2022 Full Bear Market | Jan 2022 – Dec 2022 | -13.36% | -20.67% | -24.50% |
| 2020 COVID Crash | Feb 2020 – Mar 2020 | -8.92% | -19.13% | -33.72% |
| 2018 Volmageddon / Q4 | Oct 2018 – Dec 2018 | -2.69% | -10.74% | -19.20% |
| 2008 Global Financial Crisis | Oct 2007 – Mar 2009 | N/A (Pre-Inception) | N/A | N/A |
6. Tail Risk Metrics
| Metric | Oneiros Vision Apex |
|---|---|
| Daily VaR (95%) | -1.16% |
| Daily VaR (99%) | -2.17% |
| CVaR / Expected Shortfall (95%) | -1.80% |
| Skewness | -0.68 |
| Excess Kurtosis | 4.70 |
7. Liquidity & Implementation Friction
The reference implementation deducts 2 bps per trade leg (round-trip) from every allocation change. Costs are charged from executed, T+1 weights; initial portfolio establishment is excluded. Average annual total turnover was 13.88x (one-way turnover of 6.94x).
| Per-leg cost assumption | Cum. Return | CAGR | Max DD | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 0 bps (Gross) | 594.49% | 12.37% | -14.95% | 0.96 | 1.34 | 0.83 |
| 2 bps (Base) | 563.19% | 12.06% | -15.28% | 0.94 | 1.31 | 0.79 |
| 5 bps (Conservative) | 518.85% | 11.60% | -15.78% | 0.90 | 1.25 | 0.73 |
8. System Turnover & Volatility Profile
- Average Annual Regime Shifts: 10.5 shifts per year
- Whipsaws (Losing Shifts) per Year: 4.16
- Trade Hit Rate (Profitable Regimes): 60.6%
- Time in Market (Risk-On / Neutral): 68.2% (CALM: 25.7%, CHOP: 42.5%)
- Time in Defensive (Hedge / Cash): 31.8% (WARNING: 27.5%, CRITICAL: 4.3%)
- Annualized Volatility: 11.26%
9. Regime-Attributed Return Analysis
| Regime | Time Allocation | Annualized Return | Trading Days |
|---|---|---|---|
| CALM (Risk-On) | 25.7% | 18.86% | 1,075 |
| CHOP (Neutral) | 42.5% | 16.18% | 1,777 |
| WARNING (Hedged) | 27.5% | 1.61% | 1,152 |
| CRITICAL (Bunker) | 4.3% | 3.57% | 180 |
10. Monthly Returns (%)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | -7.3 | 3.7 | 7.0 | 2.1 | -6.2 | 0.1 | 1.5 | -4.5 | 10.1 | 5.6 | -0.1 | 5.5 |
| 2011 | 1.8 | 2.9 | -1.2 | 3.3 | -1.2 | -1.9 | -0.5 | -0.6 | -0.8 | 1.2 | 0.3 | 0.9 |
| 2012 | 6.8 | 6.0 | 4.5 | -0.8 | -6.4 | 3.6 | 1.3 | 4.5 | 1.2 | -4.3 | 1.2 | -0.2 |
| 2013 | 3.2 | 0.5 | 3.2 | 2.1 | 2.6 | -1.7 | 1.3 | -3.2 | 3.8 | 4.5 | 3.4 | 2.8 |
| 2014 | -2.3 | 1.3 | -1.3 | 0.3 | 3.7 | 2.7 | 0.2 | 4.2 | -1.0 | 0.8 | 1.9 | -3.3 |
| 2015 | 2.0 | -0.1 | -2.3 | 0.0 | 1.6 | -1.8 | 1.5 | -10.4 | 0.1 | 6.2 | 0.5 | -1.4 |
| 2016 | 1.6 | 1.9 | 2.2 | -2.1 | 3.0 | -2.8 | 0.6 | 0.1 | 0.8 | -1.6 | 2.1 | 1.5 |
| 2017 | 3.0 | 4.0 | 0.9 | 1.6 | 2.6 | -1.6 | 3.3 | 1.3 | 1.1 | 4.2 | 2.4 | 0.6 |
| 2018 | 7.7 | -6.1 | 0.4 | -2.1 | 3.6 | 0.2 | 0.3 | 3.8 | 0.3 | -2.1 | 1.3 | -0.5 |
| 2019 | 1.4 | 3.1 | 3.3 | 4.4 | -2.2 | 2.3 | -1.0 | -2.3 | -0.7 | -0.2 | 3.6 | 3.3 |
| 2020 | 1.6 | -3.4 | 0.3 | 1.4 | 2.0 | 1.3 | 3.9 | 8.5 | -5.2 | -2.6 | 10.5 | 4.5 |
| 2021 | 0.3 | 1.6 | 3.3 | 4.9 | -1.9 | 3.9 | 2.6 | 3.3 | -5.0 | 4.1 | 0.3 | 1.5 |
| 2022 | -3.1 | -0.7 | 0.2 | -2.4 | -0.9 | -1.3 | 2.2 | -2.4 | -3.5 | 0.5 | 1.8 | -3.4 |
| 2023 | 8.0 | -1.5 | 1.2 | 1.3 | 3.6 | 6.5 | 3.3 | -1.1 | -5.2 | 0.2 | 5.4 | 5.2 |
| 2024 | 1.6 | 5.9 | 2.1 | -4.2 | 2.9 | 5.6 | -2.0 | 1.1 | 1.3 | -1.1 | 1.2 | -2.0 |
| 2025 | 1.7 | 2.0 | 1.0 | -0.2 | -0.1 | 5.2 | 2.0 | 1.6 | 4.1 | 3.0 | -0.3 | -0.5 |
| 2026 | 1.6 | -1.1 | -2.8 | -0.1 | 4.2 | -0.8 | -3.8 | 2.8 | — | — | — | — |
Data Sources
Market data sourced from: FRED (Federal Reserve Economic Data), Yahoo Finance, CBOE, AAII. Treasury rate data from FRED series DGS3MO. ETF price data from Yahoo Finance.
Disclosures & Methodology
Metrics are calculated from actual trading sessions only. Portfolio and benchmark returns use adjusted (total-return) ETF prices. Two benchmarks are reported: SPY (S&P 500 total return), and 60/40 (a daily-rebalanced 60% SPY / 40% IEF proxy — no advisory fee, tax, or rebalancing-cost assumption is applied to it). Both are computed over the identical January 2010 – August 2026 window on the same trading calendar as the portfolio. The implementation applies weights with a one-trading-session lag and deducts a 2 bps per-leg transaction cost from allocation turnover. Where history is unavailable, the model substitutes MTUM with QQQ (through 2013-04-18), QUAL with SPY (through 2013-07-18), and USMV with SPY (through 2011-10-20). VIG carries a complete daily price history across the full 2010–2026 backtest window and is never substituted.
All performance results presented herein are derived exclusively from historical backtesting conducted from January 4, 2010 through August 25, 2026. While no live trading track record exists for this strategy, live out-of-sample signal logging commenced on July 20, 2026. Risk-adjusted ratios use the 3-Month U.S. Treasury Yield (FRED: DGS3MO) as the risk-free rate. This document is for informational purposes only and does not constitute financial advice or an offer to sell securities. Past backtested performance is not indicative of future results.