Question
How do trading strategies behave under liquidity stress?
Per-strategy bucket scores under the LIQUIDITY_STRESS failure mode (deep drawdown with elevated, persistent volatility).
Short answer
Strategies score across a wide range in the liquidity stress bucket — top 78/100 (RSI with SMA 200 Trend Filter), bottom 39 (Buy and Hold Bitcoin). 4 of 13 strategies have this bucket augmented from a-priori tags (Phase 18d).
liquidity stress bucket scores
| Strategy | Asset | LIQUIDITY_STRESS score | n augmented | Overall score |
|---|---|---|---|---|
| RSI with SMA 200 Trend Filter | SPY | 78.3 / 100 | 0 | 75 / 100 |
| Supertrend Strategy | SPY | 65.8 / 100 | 0 | 58 / 100 |
| MACD + RSI Confirmation (BTC) | BTC | 45.7 / 100 | 52 | 49 / 100 |
| MACD Signal Line Crossover | SPY | 45.6 / 100 | 0 | 55 / 100 |
| EMA 12/26 Crossover | SPY | 45.2 / 100 | 0 | 52 / 100 |
| SMA 200 Trend Following (GOLD) | GOLD | 45.1 / 100 | 0 | 51 / 100 |
| SMA 200 Crossover | SPY | 44.1 / 100 | 0 | 54 / 100 |
| Bollinger Band Bounce | SPY | 44.0 / 100 | 0 | 53 / 100 |
| EMA 12/26 Crossover (BTC) | BTC | 43.9 / 100 | 52 | 50 / 100 |
| RSI 30/70 Mean Reversion (BTC) | BTC | 43.7 / 100 | 52 | 51 / 100 |
| RSI 30/70 Mean Reversion | SPY | 40.5 / 100 | 0 | 50 / 100 |
| Buy and Hold S&P 500 | SPY | 40.4 / 100 | 0 | 54 / 100 |
| Buy and Hold Bitcoin | BTC | 39.3 / 100 | 52 | 53 / 100 |
Bucket scores are computed on replicas ex-post-classified into the LIQUIDITY_STRESS bucket via operational gating definitions; when bucket-n < 5 the bucket is augmented with a-priori-tagged replicas (Phase 18d). 0–100; higher = better behaviour under this stress condition.
Related strategy reports
Related failure-mode definitions
Related questions
Data is sourced from the curated case set: 31 empirical anchors + 32 synthetic stress probes across 9 score buckets, V2 per-FM-bucket scoring with a-priori augmentation. See /methodology.
Programmatic access: POST /api/v1/agent/analyze · GET /api/v1/catalog/query · see /interop.