Crisis Dependency Analysis
Does your strategy need market crashes to be profitable? Crisis Dependency Analysis separates crisis-driven profits from genuine edge by analyzing how your strategy performs during and outside of major market events.
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Why does this matter? A strategy that only profits during crisis periods (like the 2008 GFC or COVID crash) may look great in backtesting but fail during calm markets — which is most of the time. Understanding your crisis dependency helps you set realistic expectations.
Preset Crisis Zones
AlgoChef includes 11 preset crisis zones covering major market events:
| Crisis | Period |
|---|---|
| Global Financial Crisis | 2008-09-15 → 2009-03-09 |
| Flash Crash | 2010-05-06 → 2010-05-10 |
| EU Debt / US Downgrade | 2011-07-01 → 2011-10-31 |
| China Devaluation Crash | 2015-08-11 → 2015-09-30 |
| Volmageddon | 2018-02-02 → 2018-02-12 |
| Q4 2018 Selloff | 2018-10-01 → 2018-12-24 |
| COVID Crash | 2020-02-20 → 2020-04-07 |
| 2022 Rate Hike (Acute) | 2022-06-01 → 2022-07-31 |
| Regional Banking Crisis | 2023-03-08 → 2023-03-24 |
| Yen Carry Trade Unwind | 2024-07-31 → 2024-08-12 |
| Tariff Shock Selloff | 2025-04-02 → 2025-04-08 |
Custom Crisis Zones
You can define your own crisis zones for events specific to your market. Custom zones work exactly like preset zones and are saved per user.
Dependency Score
The Dependency Score (0–100) quantifies how much your strategy relies on crisis periods. It evaluates three components:
| Component | What It Measures |
|---|---|
| Quality Shift | Does overall trade quality (CSI) change when crises are removed? |
| Profit Shift | What percentage of total profits come from crisis periods? |
| Concentration | Are profits concentrated in a few specific crisis events? |
How to Read the Score
| Score | Label | What It Means |
|---|---|---|
| 0–19 | Low | Your strategy doesn't rely on crises — it works in any market condition |
| 20–39 | Moderate | Some crisis benefit exists, but the core edge persists without them |
| 40–59 | High | Significant dependency on crisis volatility — proceed with caution |
| 60–100 | Critical | Most of your edge comes from crisis periods — this pattern may not repeat |
Zone Breakdown
For each active crisis zone, AlgoChef shows the number of trades, net P&L, and win rate during that period — plus a performance badge:
- Thrived — Profitable with strong win rate during the crisis
- Neutral — Mixed results, no strong pattern
- Struggled — Lost money but maintained some structure
- Wrecked — Significant losses during the crisis
This tells you exactly which crises helped and which hurt, so you can distinguish between a strategy that profits during all crises (genuine crisis alpha) vs one that only worked during a specific event (unrepeatable luck).
Filtered Equity Curves
AlgoChef shows three equity curves side-by-side for direct comparison:
- Original — Your full equity curve with all trades
- Without Crises — Crisis-period trades removed; balance stays flat during crisis windows
- Crisis Only — Non-crisis trades removed; balance flat outside crises
The visual gap between "Original" and "Without Crises" instantly shows how much of your growth depends on crisis periods. If the curves look almost identical, your strategy is robust. If there's a large gap, you have crisis dependency.
CSI Component Shift
When crises are removed, AlgoChef identifies which scoring component (Profitability, Risk, or Confidence) shifted the most. This reveals the mechanism of your crisis dependency — is it that crisis trades are more profitable, that they improve your risk profile, or that they add statistical confidence?
Permutation Testing
To verify statistical significance, AlgoChef runs 500-iteration permutation tests that randomly reassign trades to crisis/non-crisis periods. If the observed dependency score is significantly different from the randomized distribution, the result is flagged as statistically significant.
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Permutation testing is automatically skipped for strategies with fewer than 30 trades, as the sample size is too small for meaningful statistical inference.
Tip
Toggle individual crisis zones on and off to see how each event impacts your dependency score. This helps identify which specific crises drive your strategy's performance.
Related Features
- Monte Carlo Simulation — Stress-test your strategy's robustness, capital requirements, and survivability under degraded conditions
- Strategy vs Benchmark — If your alpha is crisis-dependent, benchmark comparison reveals whether you're generating real alpha or just riding market volatility
- Health Monitor — Track whether crisis dependency is changing over time as your strategy evolves
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Ready to check your strategy's crisis dependency? Start your free trial — no credit card required.