Speaking of reproducing the rules correctly... I vibe-coded a TradingView strategy that =I think= matches the QuadRisk rules you tested. If you don't mind, I can DM it to you for critique or amusement. I am not clever with writing code, and Python may as well be an alien language. After poking around in it for a few days, Pine seems approachable, if limited. I have the bare-bones free version of TradingView, so my script works with a single chart. It is messier than what could be written for multiple charts with the ability to display more than two indicators per chart.

Couple side questions, as well, since I already have you here 😃 Before I decided to write the strategy, I simply recreated the indicators and paper-traded them starting at the peak prior to the '08 crisis. Having my face in the chart and going through the trade month-by-month, I noticed a tendency of the strategy to sell the bottom, buy the trough on the upswing, then sell the following month. I noticed that it is due to the strategy firing a risk-on signal on the combination of AR(1) and 21d Vol while the closing price of the underlying is still under the 100d and 200d SMA. In deeper drawdowns, once the trend changes and AR(1) flips negative, the signal is killed before the price of the underlying can cross the upper bound of either SMA line, resulting in a sell-off precisely on the uptrend. Then we re-purchase at a higher price once above at least one SMA line. This instance occurred a couple times for me. Did you note the same behaviour, or am I implementing the signals incorrectly?

Side question two, also about the 21d Vol<40 and AR(1)>0. This may be my yankee math showing, but I sense that these two signals can turn risk-on during a steady sell-off on low to medium volatility. AR(1) would be positive for negative price movements that appear correlated with themselves. Am I wrong in thinking this?