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Compare investment strategies

Apple or T-Bills Switch on Market Signals 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)

cash/t-bills, mean reversion, momentum, single-stock, tactical timing, tech sector, volatility filter

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)

0.05

—

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

0.81

—

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

0.50

—

Trading activity

Annualized turnover, backtest period (backtest)

25.55

—

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

22.21

—

Daily win rate, backtest period (backtest)

50.16%

—

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

54.96%

—

Backtest

Backtest final value (from $10,000)

$3.0M

—

Backtest regulatory fees

$6,208

—

Backtest slippage cost

$54k

—

Returns

Backtest length

4,872

—

Out-of-sample length

817

—

Return, backtest period (annualized) (backtest)

34.30%

—

Return, backtest period (cumulative) (backtest)

30k%

—

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

20.54%

3.62%

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

83.37%

2.81%

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

-1.11%

—

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

6.75%

0.34%

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

0.88%

—

Return, trailing 1 year (backtest)

23.87%

—

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

23.87%

6.30%

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

-1.30%

—

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

6.55%

0.95%

SPY annualized return over the backtest window (backtest)

10.78%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.90

—

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

0.70

331.36

Maximum drawdown, backtest period (backtest)

-38.20%

—

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

-29.24%

-0.01%

Sharpe ratio, backtest period (backtest)

1.26

—

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

0.89

18.06

Sortino ratio, backtest period (backtest)

1.97

—

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

1.36

—

Standard deviation, backtest period (backtest)

26.08%

—

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

24.27%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

1.00%

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