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Compare investment strategies

3x Bulls vs Hedges Using Volatility and Bond Signals vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

daily tactical rotation, leveraged etfs, momentum & mean reversion, risk-on/risk-off, volatility hedging

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.22

—

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

1.18

—

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

0.32

—

Trading activity

Annualized turnover, backtest period (backtest)

118.19

—

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

116.08

—

Daily win rate, backtest period (backtest)

55.54%

—

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

53.79%

—

Backtest

Backtest final value (from $10,000)

$54.2M

—

Backtest regulatory fees

$233k

—

Backtest slippage cost

$2.2M

—

Returns

Backtest length

1,734

—

Out-of-sample length

686

—

Return, backtest period (annualized) (backtest)

248.64%

—

Return, backtest period (cumulative) (backtest)

542k%

—

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

34.65%

76.55%

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

125.01%

3.91%

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

1.40%

—

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

18.65%

0.00%

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

2.16%

—

Return, trailing 1 year (backtest)

168.82%

—

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

168.56%

0.00%

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

7.92%

—

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

46.37%

0.00%

SPY annualized return over the backtest window (backtest)

16.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.59

—

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

0.64

180.23

Maximum drawdown, backtest period (backtest)

-54.11%

—

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

-54.11%

-0.42%

Sharpe ratio, backtest period (backtest)

2.24

—

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

0.81

9.00

Sortino ratio, backtest period (backtest)

3.76

—

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

1.19

—

Standard deviation, backtest period (backtest)

65.18%

—

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

57.21%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.56

—

Construction

Logic complexity (node count)

286

—

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