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Actively Managed Top-10 US Stocks with T-Bill Parking vs Weekly Top-3 ETF 6-Month Momentum Allocator

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-bills overlay, mean-reversion, mega-cap tech heavy, risk management, rules-based, tactical, trend-following, us large-cap

etfs, global macro, long-only, momentum, multi-asset, trend-following, weekly rebalance

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

1.13

—

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

0.81

—

Trading activity

Annualized turnover, backtest period (backtest)

12.69

—

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

13.15

—

Daily win rate, backtest period (backtest)

56.60%

—

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

54.83%

—

Backtest

Backtest final value (from $10,000)

$334k

—

Backtest regulatory fees

$495

—

Backtest slippage cost

$3,636

—

Returns

Backtest length

3,104

—

Out-of-sample length

797

—

Return, backtest period (annualized) (backtest)

32.94%

—

Return, backtest period (cumulative) (backtest)

3239%

—

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

30.58%

60.89%

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

132.79%

11.78%

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

0.75%

—

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

5.27%

2.15%

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

0.31%

—

Return, trailing 1 year (backtest)

1.10%

—

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

1.10%

0.00%

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

-0.07%

—

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

10.01%

0.00%

SPY annualized return over the backtest window (backtest)

13.78%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.43

—

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

1.62

10.46

Maximum drawdown, backtest period (backtest)

-23.10%

—

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

-18.85%

-5.82%

Sharpe ratio, backtest period (backtest)

1.49

—

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

1.37

3.11

Sortino ratio, backtest period (backtest)

2.22

—

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

2.14

—

Standard deviation, backtest period (backtest)

20.56%

—

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

21.10%

15.95%

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

1.62%

—

Rebalance frequency

none

weekly

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