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AMD, INTC, NVDA, ORCL 5-Day Winner Momentum 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)

concentrated, daily rebalancing, momentum, semiconductors, short-term trend, tactical overlay, us large-cap tech

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)

0.60

—

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

2.59

—

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

0.61

—

Trading activity

Annualized turnover, backtest period (backtest)

50.49

—

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

51.05

—

Daily win rate, backtest period (backtest)

52.48%

—

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

52.99%

—

Backtest

Backtest final value (from $10,000)

$3.6M

—

Backtest regulatory fees

$10k

—

Backtest slippage cost

$59k

—

Returns

Backtest length

6,966

—

Out-of-sample length

234

—

Return, backtest period (annualized) (backtest)

23.73%

—

Return, backtest period (cumulative) (backtest)

36k%

—

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

136.14%

76.55%

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

122.84%

3.91%

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

-1.25%

—

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

4.23%

0.00%

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

-3.61%

—

Return, trailing 1 year (backtest)

119.63%

—

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

0.00%

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

-5.18%

—

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

22.33%

0.00%

SPY annualized return over the backtest window (backtest)

8.63%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.27

—

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

4.64

180.23

Maximum drawdown, backtest period (backtest)

-87.44%

—

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

-29.36%

-0.42%

Sharpe ratio, backtest period (backtest)

0.69

—

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

1.85

9.00

Sortino ratio, backtest period (backtest)

1.04

—

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

3.03

—

Standard deviation, backtest period (backtest)

45.90%

—

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

54.82%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.52

—

Construction

Logic complexity (node count)

—

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