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Apple, Microsoft and Alphabet 40/30/30 Threshold Rebalance vs Rising Rates Volatility Switch Risk-Parity 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)

concentrated, large-cap tech, threshold rebalancing, us equities

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.13

—

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

1.04

—

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

0.79

—

Trading activity

Annualized turnover, backtest period (backtest)

0.99

—

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

1.21

—

Daily win rate, backtest period (backtest)

55.21%

—

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

54.57%

—

Backtest

Backtest final value (from $10,000)

$2.4M

—

Backtest regulatory fees

$60

—

Backtest slippage cost

$463

—

Returns

Backtest length

5,570

—

Out-of-sample length

394

—

Return, backtest period (annualized) (backtest)

28.21%

—

Return, backtest period (cumulative) (backtest)

24k%

—

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

41.37%

3.62%

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

72.06%

2.81%

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

0.57%

—

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

7.34%

0.34%

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

2.10%

—

Return, trailing 1 year (backtest)

29.64%

—

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

29.64%

6.30%

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

1.25%

—

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

13.55%

0.95%

SPY annualized return over the backtest window (backtest)

11.30%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.49

—

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

2.39

331.36

Maximum drawdown, backtest period (backtest)

-57.24%

—

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

-17.28%

-0.01%

Sharpe ratio, backtest period (backtest)

1.12

—

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

1.66

18.06

Sortino ratio, backtest period (backtest)

1.65

—

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

2.71

—

Standard deviation, backtest period (backtest)

24.94%

—

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

22.46%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.34

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

2.00%

5.00%

Rebalance frequency

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