The figures in this article come from a backtest of Shishin over 1.174 US trading days (2021-09-10 → 2026-05-22). Past performance does not predict future results. Shishin is a research publisher; published material is research output, not personalised investment advice.
A quantitative strategy that works in one regime is a research artifact. A quantitative strategy that survives every regime is a capital allocator. The difference is whether you've built one model or four.
The premise
Almost every long-bias equity strategy you can buy off the shelf is built to work in a single market state. Momentum thrives in trending markets and bleeds in chop. Mean reversion does the opposite. Quality factors look brilliant on a ten-year arc and look catatonic during the two-year windows in the middle of it. The question every researcher eventually asks isn't which model is best. It's which model is best right now, and how do I know when right now ends.
Shishin's answer is to stop pretending one model fits every regime. Instead, we run four — each a fully independent long-bias US-equity strategy tuned for a specific market state. A breadth-driven macro classifier picks which engine fires each day. They never overlap; on any given session at most one engine is in the trade path.
The four guardians
Genbu · 玄武 · The tortoise of the North
Genbu is the quiet engine. It looks for durable margins, conservative leverage, and the absence of disasters — small-cap quality names that compound through neglect. Over the five-year window it was active only 30 days out of 1.174. Its win rate is the lowest of the four — 27.3% — but when it wins it wins big. Standalone return: +324% on just 11 trades. The asymmetry is the point. Genbu doesn't fire often, but when it does the macro is signalling look for quality, not story.
Suzaku · 朱雀 · The phoenix of the South
Suzaku is the workhorse. It hunts small-cap momentum breakouts — compression-to-expansion patterns, base-and-go setups, the thrust that comes off a tight twenty-day range. It was active 596 days, more than every other engine combined, and produced the bulk of the system's return: standalone +4582% over 168 trades at a 40.5% win rate. The standalone drawdown is meaningful — 32.5% peak-to-trough, the cost of an aggressive momentum sleeve — but the macro switch rotates out of Suzaku into more defensive engines whenever breadth deteriorates, which is why the live stack's drawdown is materially lower than Suzaku's own.
Byakko · 白虎 · The white tiger of the West
Byakko is the bear-market translator. When the broad equity market is weak the conventional advice is “go to cash.” Byakko's observation is that there is usually a sector that isn't — commodity producers, energy explorers, gold miners. The engine trades a small basket of defensive-sector ETFs (XOP, GDX, XLE and a handful of related vehicles) with the highest hit rate of the four: 55.9% over 143 trades. It is active 375 days — most of them sessions on which a long-only momentum engine would have been bleeding. The function is regime translation. Capital stays in equities, but in the equities that work.
Seiryū · 青龍 · The dragon of the East
Seiryū is the recovery engine. Markets transition messily out of bear regimes — false starts, head fakes, a few weeks of large-cap leadership that doesn't broaden. Seiryū hunts speculative large-cap recoveries in those transition windows, when small-cap momentum hasn't earned the right to fire but cash is the wrong answer. Active 53 days, 52.4% win rate, standalone +479% return on 21 trades. It is the smallest engine by trade count — most regimes don't need it — but the macro deploys it surgically when the broader read is the bottom is in, but it's the big names leading.
The macro switch
Engines don't decide which engine is on. The classifier does. It reads the universe daily — the percentage of names above their fifty-day moving average with a fifty-over-two-hundred stack, the percentage in confirmed downtrends, and a handful of derived breadth metrics — and assigns each session a regime. The regime chooses the engine. The engine produces signals. The signals are sized by composite score and entered on the next session's open.
It is deliberately a daily decision. We don't want a regime flag that flickers on a single bar; we don't want one that confirms a regime change three weeks after the market did. The seven-regime taxonomy is small enough to be intelligible, large enough to capture the meaningful states, and the persistence rules around regime transitions are tuned to favour the regimes the system has historically handled well.
What this looks like in practice
Over the 1.174-day backtest, the four-engine stack produced a 139.7% CAGR with a Sharpe ratio of 1.83 and a maximum drawdown of 17.7%. On 358 of those days — roughly 30% of the window — the system was simply in cash. No regime called for a trade, no engine fired, the capital sat. The edge isn't being always-on. The edge is being on for the right reason.
Why four, not one
A natural objection is that four engines is just an ensemble in disguise: blend them, share the capital, take a weighted average of the signals. We tried it. It under-performs. The reason is mechanical: the engines have opposing exposures to regime variables (Suzaku is risk-on, Byakko is risk-off), so blending them produces a smoothed return that doesn't capture the asymmetric upside of being correctly positioned in any single state. Diversification across uncorrelated bets compounds slowly. Commitment to the right bet, conditional on signal, compounds fast.
The bet is that the macro classifier — a single decision per day, daily-bar resolution, deterministic logic — is good enough to put the right engine in front of the right week. Five years of out-of-sample paper trading suggests it is. The coming articles in this series unpack the pieces: how the composite score that ranks each engine's candidates is built, how the macro classifier reads the tape, how drawdown is treated as a metric rather than a side-effect, and what happens when you publish every trade in public from day one.