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AI/Tech vs Managed Futures Switch with AIBD/BTAL Defense 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, daily rebalance, leveraged etfs, managed futures signal, momentum, rsi regime filter, tactical, volatility

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)

0.48

—

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

-0.69

—

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

-0.23

—

Trading activity

Annualized turnover, backtest period (backtest)

56.09

—

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

59.06

—

Daily win rate, backtest period (backtest)

53.32%

—

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

52.21%

—

Backtest

Backtest final value (from $10,000)

$30k

—

Backtest regulatory fees

$83

—

Backtest slippage cost

$574

—

Returns

Backtest length

602

—

Out-of-sample length

544

—

Return, backtest period (annualized) (backtest)

57.60%

—

Return, backtest period (cumulative) (backtest)

196.99%

—

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

23.21%

138.64%

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

56.27%

3.87%

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

7.02%

—

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

-3.91%

8.12%

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

8.26%

—

Return, trailing 1 year (backtest)

50.90%

—

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

21.93%

0.00%

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

3.23%

—

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

-4.07%

0.00%

SPY annualized return over the backtest window (backtest)

18.48%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.50

—

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

0.60

51.98

Maximum drawdown, backtest period (backtest)

-38.47%

—

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

-38.47%

-2.67%

Sharpe ratio, backtest period (backtest)

1.19

—

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

0.68

4.29

Sortino ratio, backtest period (backtest)

1.69

—

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

1.02

—

Standard deviation, backtest period (backtest)

48.66%

—

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

49.12%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.77

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

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