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Bond-Gated UPRO/TQQQ with TMF Blend and BIL Defense 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)

alternatives, dip buying, hedging, leveraged etfs, risk-on/risk-off, tactical rotation, treasuries, trend-following, us equities, volatility targeting

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)

0.04

—

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

1.58

—

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

0.60

—

Trading activity

Annualized turnover, backtest period (backtest)

49.75

—

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

53.51

—

Daily win rate, backtest period (backtest)

54.10%

—

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

54.10%

—

Backtest

Backtest final value (from $10,000)

$2.5M

—

Backtest regulatory fees

$11k

—

Backtest slippage cost

$86k

—

Returns

Backtest length

2,976

—

Out-of-sample length

830

—

Return, backtest period (annualized) (backtest)

59.81%

—

Return, backtest period (cumulative) (backtest)

25k%

—

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

32.25%

3.62%

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

151.35%

2.81%

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

-0.43%

—

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

1.81%

0.34%

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

1.21%

—

Return, trailing 1 year (backtest)

-3.87%

—

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

-3.88%

6.30%

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

1.26%

—

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

7.54%

0.95%

SPY annualized return over the backtest window (backtest)

13.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.23

—

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

0.66

331.36

Maximum drawdown, backtest period (backtest)

-48.76%

—

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

-48.76%

-0.01%

Sharpe ratio, backtest period (backtest)

1.52

—

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

0.90

18.06

Sortino ratio, backtest period (backtest)

2.37

—

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

1.37

—

Standard deviation, backtest period (backtest)

34.81%

—

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

39.55%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.44

—

Construction

Logic complexity (node count)

3,559

—

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