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Compare investment strategies

Actively Managed S&P Top 10 Mega-Caps or T-Bills vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

cash/t‑bill overlay, tactical trend/mean‑reversion, us large-cap equities

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)

0.08

—

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

1.02

—

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

0.83

—

Trading activity

Annualized turnover, backtest period (backtest)

12.16

—

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

12.55

—

Daily win rate, backtest period (backtest)

56.57%

—

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

55.15%

—

Backtest

Backtest final value (from $10,000)

$279k

—

Backtest regulatory fees

$428

—

Backtest slippage cost

$3,049

—

Returns

Backtest length

3,104

—

Out-of-sample length

990

—

Return, backtest period (annualized) (backtest)

31.03%

—

Return, backtest period (cumulative) (backtest)

2695%

—

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

32.03%

76.55%

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

198.21%

3.91%

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

0.66%

—

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

4.26%

0.00%

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

0.88%

—

Return, trailing 1 year (backtest)

9.89%

—

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

9.89%

0.00%

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

0.39%

—

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

5.10%

0.00%

SPY annualized return over the backtest window (backtest)

13.78%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.46

—

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

1.74

180.23

Maximum drawdown, backtest period (backtest)

-21.18%

—

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

-18.42%

-0.42%

Sharpe ratio, backtest period (backtest)

1.51

—

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

1.56

9.00

Sortino ratio, backtest period (backtest)

2.26

—

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

2.50

—

Standard deviation, backtest period (backtest)

19.13%

—

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

18.94%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.10

—

Construction

Logic complexity (node count)

128

—

Rebalance corridor width

3.14%

—

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