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Compare investment strategies

All-Weather 3x Stock Switch with Treasuries and Hedges vs Macro-Filtered Short-Term Momentum with Mean Reversion

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

bonds/rates aware, commodities overlay, daily, leveraged etfs, momentum/mean‑reversion, regime-switching, tactical, volatility‑hedged

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)

0.09

—

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

1.53

—

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

0.44

—

Trading activity

Annualized turnover, backtest period (backtest)

132.72

—

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

128.50

—

Daily win rate, backtest period (backtest)

55.68%

—

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

53.32%

—

Backtest

Backtest final value (from $10,000)

$1.1M

—

Backtest regulatory fees

$7,988

—

Backtest slippage cost

$60k

—

Returns

Backtest length

1,110

—

Out-of-sample length

844

—

Return, backtest period (annualized) (backtest)

191.90%

—

Return, backtest period (cumulative) (backtest)

11k%

—

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

32.31%

76.55%

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

155.73%

3.91%

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

0.02%

—

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

-3.86%

0.00%

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

2.11%

—

Return, trailing 1 year (backtest)

46.37%

—

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

46.37%

0.00%

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

-1.07%

—

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

14.29%

0.00%

SPY annualized return over the backtest window (backtest)

17.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.50

—

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

0.59

180.23

Maximum drawdown, backtest period (backtest)

-54.81%

—

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

-54.81%

-0.42%

Sharpe ratio, backtest period (backtest)

2.24

—

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

0.79

9.00

Sortino ratio, backtest period (backtest)

3.88

—

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

1.23

—

Standard deviation, backtest period (backtest)

54.28%

—

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

51.90%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.44

—

Construction

Logic complexity (node count)

2,265

—

Rebalance frequency

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