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Bond/Commodity Regime 3x Switcher 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)

leveraged etfs, macro regime switching, momentum + mean reversion, tactical allocation, volatility hedging

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)

0.34

—

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

1.24

—

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

0.22

—

Trading activity

Annualized turnover, backtest period (backtest)

104.47

—

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

103.38

—

Daily win rate, backtest period (backtest)

55.41%

—

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

52.62%

—

Backtest

Backtest final value (from $10,000)

$37835.0B

—

Backtest regulatory fees

$12.6B

—

Backtest slippage cost

$12.2B

—

Returns

Backtest length

3,763

—

Out-of-sample length

975

—

Return, backtest period (annualized) (backtest)

337.76%

—

Return, backtest period (cumulative) (backtest)

378350214k%

—

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

28.03%

3.62%

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

160.38%

2.81%

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

-1.68%

—

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

-1.60%

0.34%

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

11.79%

—

Return, trailing 1 year (backtest)

-39.38%

—

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

-40.82%

6.30%

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

5.90%

—

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

72.61%

0.95%

SPY annualized return over the backtest window (backtest)

15.23%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.36

—

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

0.36

331.36

Maximum drawdown, backtest period (backtest)

-77.51%

—

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

-78.01%

-0.01%

Sharpe ratio, backtest period (backtest)

2.30

—

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

0.69

18.06

Sortino ratio, backtest period (backtest)

4.28

—

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

1.14

—

Standard deviation, backtest period (backtest)

76.36%

—

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

84.82%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

792

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

129

—

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