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Big Bank Blender with 200-Day Filter and Semis Switch 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)

big banks, daily rebalanced, hedged, inverse etfs, leveraged etfs, mean reversion, sector rotation, tactical asset allocation, tech/semiconductors, trend-following

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)

0.22

—

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

2.50

—

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

0.43

—

Trading activity

Annualized turnover, backtest period (backtest)

114.23

—

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

105.16

—

Daily win rate, backtest period (backtest)

54.71%

—

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

52.88%

—

Backtest

Backtest final value (from $10,000)

$62.8M

—

Backtest regulatory fees

$281k

—

Backtest slippage cost

$2.6M

—

Returns

Backtest length

1,700

—

Out-of-sample length

800

—

Return, backtest period (annualized) (backtest)

265.31%

—

Return, backtest period (cumulative) (backtest)

628k%

—

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

41.17%

3.62%

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

199.19%

2.81%

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

-1.94%

—

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

12.43%

0.34%

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

9.44%

—

Return, trailing 1 year (backtest)

118.10%

—

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

118.01%

6.30%

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

-0.34%

—

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

-9.56%

0.95%

SPY annualized return over the backtest window (backtest)

15.57%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.31

—

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

0.67

331.36

Maximum drawdown, backtest period (backtest)

-61.57%

—

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

-61.57%

-0.01%

Sharpe ratio, backtest period (backtest)

1.88

—

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

0.82

18.06

Sortino ratio, backtest period (backtest)

3.17

—

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

1.30

—

Standard deviation, backtest period (backtest)

89.70%

—

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

87.49%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.82

—

Construction

Logic complexity (node count)

182

—

Rebalance corridor width

—

5.00%

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