GPR is Caldara and Iacoviello's daily index: the share of newspaper articles about geopolitical tension, 100 is the 1985 to 2019 average. The 30 day mean and the comparison series are both rebased to 100 at the left edge.

1. Signal. For every market, the sign of its return over the lookback, a year by default: long if it is up, short if it is down.
2. Size. Each market is scaled to the same volatility, 40% a year measured over its own last 60 days and capped at four times its share, so bitcoin and a bond fund carry the same risk.
3. Book. The sleeves are averaged, every market an equal share of the capital. Sleeves that barely move together are what keep the book's volatility down.
4. Timing. Decided at the close, earning from the next close, so nothing reads a price it could not have seen. A cost is paid on every change of position.
5. Cash. The capital sits in three month bills and each position earns its market's return over the bill rate, as a futures position would.

Trend on one market runs the same signal on a single name, to see what the diversification is worth. Results sets the book against holding the same markets, Performance draws it, Sell-offs shows what it did while equities fell, Robustness how much the answer depends on the settings and which markets carried it.

Every cell is the same backtest with different settings. A good setting inside a block of good settings is a rule; a lonely bright cell is a coincidence.