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Compare investment strategies

60/20/20 2x S&P, Long Treasuries and Gold Allocation 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)

buy-and-hold, gold, leveraged s&p 500, long-term treasuries, multi-asset, static allocation

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)

-0.04

—

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

1.39

—

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

0.95

—

Trading activity

Annualized turnover, backtest period (backtest)

1.15

—

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

0.87

—

Daily win rate, backtest period (backtest)

55.03%

—

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

56.28%

—

Backtest

Backtest final value (from $10,000)

$171k

—

Backtest regulatory fees

—

Backtest slippage cost

$18

—

Returns

Backtest length

4,263

—

Out-of-sample length

382

—

Return, backtest period (annualized) (backtest)

18.27%

—

Return, backtest period (cumulative) (backtest)

1610%

—

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

38.71%

3.62%

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

63.15%

2.81%

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

-1.47%

—

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

0.52%

0.34%

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

-1.46%

—

Return, trailing 1 year (backtest)

9.37%

—

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

15.12%

6.30%

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

-0.55%

—

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

1.90%

0.95%

SPY annualized return over the backtest window (backtest)

14.49%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.46

—

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

2.54

331.36

Maximum drawdown, backtest period (backtest)

-39.62%

—

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

-15.25%

-0.01%

Sharpe ratio, backtest period (backtest)

0.92

—

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

1.83

18.06

Sortino ratio, backtest period (backtest)

1.31

—

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

2.65

—

Standard deviation, backtest period (backtest)

20.43%

—

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

18.90%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.49

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

9.00%

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