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AI Mega-Cap Trend Filter with IEF Fallback vs ERX, Refiners and Gold Miners Inverse-Volatility 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)

ai/tech focus, risk-managed, tactical equity, treasury hedge, trend-following, us large-cap

commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced

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)

0.87

—

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

0.60

—

Trading activity

Annualized turnover, backtest period (backtest)

2.59

—

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

3.39

—

Daily win rate, backtest period (backtest)

54.03%

—

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

54.00%

—

Backtest

Backtest final value (from $10,000)

$707k

—

Backtest regulatory fees

$100

—

Backtest slippage cost

$663

—

Returns

Backtest length

5,371

—

Out-of-sample length

437

—

Return, backtest period (annualized) (backtest)

22.11%

—

Return, backtest period (cumulative) (backtest)

6971%

—

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

43.60%

138.64%

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

87.56%

3.87%

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

-0.20%

—

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

5.76%

8.12%

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

-2.01%

—

Return, trailing 1 year (backtest)

56.93%

—

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

56.93%

0.00%

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

-2.02%

—

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

4.62%

0.00%

SPY annualized return over the backtest window (backtest)

11.19%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.67

—

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

2.75

51.98

Maximum drawdown, backtest period (backtest)

-32.90%

—

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

-15.86%

-2.67%

Sharpe ratio, backtest period (backtest)

1.07

—

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

1.58

4.29

Sortino ratio, backtest period (backtest)

1.58

—

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

2.54

—

Standard deviation, backtest period (backtest)

20.70%

—

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

24.89%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.30

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

monthly

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