The Test Bench › gate

Does Intermarket Ratios (8-pair basket) actually work?

DEAD

No edge left once tested on a fair footing.

The claim

A macro / intermarket reading that times the market — Intermarket / sector-rotation

What we did

Tested against Buy & hold SPY, same window (2012+), 2012-2026, both directions, vs +0.33 null floor.

The result

Result: 0.23 dSharpe (vs buy-hold)

best (Semis/SPY 63d-mom) OOS +0.56 but IS -0.33 = mirage; all 8 ratios noise as gates

Verdict

Eight intermarket ratios (defensives/cyclicals, gold/stocks, bonds/stocks, gold-miners, semis, biotech, oil) tested as SPY gates -- all noise. The flashiest (semis momentum, OOS +0.56) is an OOS mirage with a negative in-sample. May still work for SECTOR rotation; doesn't time the index.

What the test did and did not do

tested out of sample
point-in-time data
checked for look-ahead
net of real costs

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

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Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.