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50/50 S&P 500 and Commodities Tactical Mix vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

commodities, leveraged etf, risk mgmt, tactical allocation, treasuries & bonds, trend, us stocks (s&p 500), volatility

bonds/cash, defensive sectors, leverage overlay, managed futures, risk-on/risk-off, tactical allocation, trend-following

Asset classes / instruments

equities

Market-relative

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

0.03

—

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

0.73

—

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

0.68

—

Trading activity

Annualized turnover, backtest period (backtest)

10.79

—

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

10.38

—

Daily win rate, backtest period (backtest)

57.21%

—

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

57.98%

—

Backtest

Backtest final value (from $10,000)

$262k

—

Backtest regulatory fees

$310

—

Backtest slippage cost

$2,487

—

Returns

Backtest length

3,964

—

Out-of-sample length

883

—

Return, backtest period (annualized) (backtest)

23.07%

—

Return, backtest period (cumulative) (backtest)

2522%

—

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

18.28%

11.23%

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

80.19%

0.81%

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

0.38%

—

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

1.35%

0.00%

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

1.22%

—

Return, trailing 1 year (backtest)

35.79%

—

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

35.79%

0.00%

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

0.99%

—

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

7.19%

0.00%

SPY annualized return over the backtest window (backtest)

14.20%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.24

—

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

0.98

14.66

Maximum drawdown, backtest period (backtest)

-18.61%

—

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

-18.61%

-0.77%

Sharpe ratio, backtest period (backtest)

1.50

—

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

1.14

3.90

Sortino ratio, backtest period (backtest)

2.69

—

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

1.97

—

Standard deviation, backtest period (backtest)

14.59%

—

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

15.80%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.47

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

—

Rebalance frequency

none

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