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25 Blue-Chip Equal Weight with Cash and 3x Tech Rebound vs 100% SGOV Treasury Bill Cash Holder

Every published figureShow 42 attributes

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

Classification

AI categories (Composer)

blue-chip equities, cash proxy, leveraged etfs, mean reversion, risk-on/risk-off, tactical asset allocation, trend-following, volatility filters

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.18

—

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

1.23

—

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

0.56

—

Trading activity

Annualized turnover, backtest period (backtest)

45.84

—

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

50.48

—

Daily win rate, backtest period (backtest)

53.13%

—

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

59.28%

—

Backtest

Backtest final value (from $10,000)

$1.1M

—

Backtest regulatory fees

$3,224

—

Backtest slippage cost

$27k

—

Returns

Backtest length

2,507

—

Out-of-sample length

614

—

Return, backtest period (annualized) (backtest)

60.66%

—

Return, backtest period (cumulative) (backtest)

11k%

—

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

43.76%

3.61%

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

142.50%

0.76%

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

0.02%

—

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

-1.44%

0.32%

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

0.07%

—

Return, trailing 1 year (backtest)

24.95%

—

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

24.95%

0.00%

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

0.15%

—

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

12.28%

0.00%

SPY annualized return over the backtest window (backtest)

15.69%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.50

—

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

1.86

45148.96

Maximum drawdown, backtest period (backtest)

-24.29%

—

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

-23.50%

-0.00%

Sharpe ratio, backtest period (backtest)

1.68

—

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

1.19

20.28

Sortino ratio, backtest period (backtest)

4.23

—

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

2.74

—

Standard deviation, backtest period (backtest)

30.86%

—

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

35.18%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

0.54

—

Construction

Logic complexity (node count)

173

—

Rebalance frequency

daily

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