Side-by-side comparison

Compare investment strategies

2007 Sharpe 2.35 Tactical Tech Hedge with EM Timing vs Rising Rates Volatility Switch Risk-Parity Mix

Every published figureShow 43 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

etf rotation, hedged equities, mean-reversion, risk-managed, tactical multi-asset, trend-following

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

Alpha vs SPY, out-of-sample (out-of-sample)

0.19

—

Beta vs SPY, out-of-sample (out-of-sample)

0.32

—

Correlation (R) vs SPY, out-of-sample (out-of-sample)

0.34

—

Trading activity

Annualized turnover, backtest period (backtest)

44.15

—

Annualized turnover, out-of-sample period (out-of-sample)

39.58

—

Daily win rate, backtest period (backtest)

57.72%

—

Daily win rate, out-of-sample period (out-of-sample)

52.89%

—

Backtest

Backtest final value (from $10,000)

$19.0M

—

Backtest regulatory fees

$51k

—

Backtest slippage cost

$445k

—

Returns

Backtest length

4,763

—

Out-of-sample length

537

—

Return, backtest period (annualized) (backtest)

49.09%

—

Return, backtest period (cumulative) (backtest)

190k%

—

Return, out-of-sample period (annualized) (out-of-sample)

26.12%

3.62%

Return, out-of-sample period (cumulative) (out-of-sample)

64.12%

2.81%

Return, trailing 1 day (out-of-sample)

0.44%

—

Return, trailing 1 month (out-of-sample)

2.08%

0.34%

Return, trailing 1 week (out-of-sample)

1.81%

—

Return, trailing 1 year (backtest)

17.53%

—

Return, trailing 1 year (out-of-sample)

17.51%

6.30%

Return, trailing 2 weeks (out-of-sample)

0.85%

—

Return, trailing 3 months (out-of-sample)

5.96%

0.95%

SPY annualized return over the backtest window (backtest)

11.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.69

—

Calmar ratio, out-of-sample period (out-of-sample)

3.48

331.36

Maximum drawdown, backtest period (backtest)

-13.29%

—

Maximum drawdown, out-of-sample period (out-of-sample)

-7.50%

-0.01%

Sharpe ratio, backtest period (backtest)

2.43

—

Sharpe ratio, out-of-sample period (out-of-sample)

1.58

18.06

Sortino ratio, backtest period (backtest)

4.44

—

Sortino ratio, out-of-sample period (out-of-sample)

2.70

—

Standard deviation, backtest period (backtest)

17.05%

—

Standard deviation, out-of-sample period (out-of-sample)

15.50%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

Concentration (Herfindahl index, out-of-sample, as Composer reports it)

0.22

—

Construction

Logic complexity (node count)

139

—

Rebalance corridor width

5.00%

Rebalance frequency

none

Popularity

Remixes (copies)

—

Watchers

—

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources