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Big-Tech One-Day Drop Buyer with Half Cash 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)

buy-the-dip, cash overlay, concentrated, daily rebalance, equities, long-only, u.s. mega-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)

-0.05

—

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

1.68

—

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

0.66

—

Trading activity

Annualized turnover, backtest period (backtest)

43.81

—

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

64.65

—

Daily win rate, backtest period (backtest)

53.70%

—

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

53.18%

—

Backtest

Backtest final value (from $10,000)

$1.3M

—

Backtest regulatory fees

$5,174

—

Backtest slippage cost

$42k

—

Returns

Backtest length

3,158

—

Out-of-sample length

534

—

Return, backtest period (annualized) (backtest)

47.09%

—

Return, backtest period (cumulative) (backtest)

13k%

—

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

19.84%

76.55%

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

46.21%

3.91%

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

-1.45%

—

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

7.86%

0.00%

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

-4.52%

—

Return, trailing 1 year (backtest)

20.73%

—

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

21.48%

0.00%

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

-9.54%

—

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

12.93%

0.00%

SPY annualized return over the backtest window (backtest)

13.86%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.67

—

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

0.42

180.23

Maximum drawdown, backtest period (backtest)

-70.08%

—

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

-47.36%

-0.42%

Sharpe ratio, backtest period (backtest)

1.08

—

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

0.65

9.00

Sortino ratio, backtest period (backtest)

1.64

—

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

0.81

—

Standard deviation, backtest period (backtest)

45.13%

—

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

41.58%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

—

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