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AI/Power Stock Momentum, Blue-Chip Defensive 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, defensive fallback, mega-cap tech, momentum, monthly rebalance, tactical allocation, trend-following, utilities

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)

0.03

—

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

2.77

—

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

0.63

—

Trading activity

Annualized turnover, backtest period (backtest)

7.32

—

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

6.45

—

Daily win rate, backtest period (backtest)

55.02%

—

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

49.81%

—

Backtest

Backtest final value (from $10,000)

$53k

—

Backtest regulatory fees

—

Backtest slippage cost

$63

—

Returns

Backtest length

558

—

Out-of-sample length

261

—

Return, backtest period (annualized) (backtest)

112.72%

—

Return, backtest period (cumulative) (backtest)

433.51%

—

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

51.71%

138.64%

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

52.72%

3.87%

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

-5.26%

—

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

11.35%

8.12%

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

-10.51%

—

Return, trailing 1 year (backtest)

58.72%

—

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

50.76%

0.00%

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

-8.55%

—

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

6.33%

0.00%

SPY annualized return over the backtest window (backtest)

18.01%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.27

—

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

1.48

51.98

Maximum drawdown, backtest period (backtest)

-49.66%

—

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

-34.99%

-2.67%

Sharpe ratio, backtest period (backtest)

1.57

—

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

1.02

4.29

Sortino ratio, backtest period (backtest)

2.39

—

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

1.16

—

Standard deviation, backtest period (backtest)

59.39%

—

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

56.96%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.25

—

Construction

Logic complexity (node count)

105

—

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