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Boring Big-Tech Momentum 80/20 with Defensive Switch vs Domestic Leveraged Sector Trend Rotation

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)

bonds, defensive hedging, equities, gold, leveraged etfs, momentum, risk parity, tactical asset allocation, us dollar, volatility weighting

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.87

—

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

0.58

—

Trading activity

Annualized turnover, backtest period (backtest)

47.61

—

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

48.43

—

Daily win rate, backtest period (backtest)

56.56%

—

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

56.24%

—

Backtest

Backtest final value (from $10,000)

$255k

—

Backtest regulatory fees

$1,017

—

Backtest slippage cost

$8,226

—

Returns

Backtest length

2,788

—

Out-of-sample length

850

—

Return, backtest period (annualized) (backtest)

33.99%

—

Return, backtest period (cumulative) (backtest)

2449%

—

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

27.12%

67.14%

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

124.84%

4.80%

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

0.60%

—

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

10.38%

4.80%

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

1.17%

—

Return, trailing 1 year (backtest)

26.81%

—

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

26.81%

0.00%

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

0.10%

—

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

15.88%

0.00%

SPY annualized return over the backtest window (backtest)

15.10%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.87

—

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

1.39

53.07

Maximum drawdown, backtest period (backtest)

-39.01%

—

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

-19.44%

-1.27%

Sharpe ratio, backtest period (backtest)

1.45

—

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

1.19

4.69

Sortino ratio, backtest period (backtest)

2.21

—

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

1.84

—

Standard deviation, backtest period (backtest)

21.89%

—

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

22.20%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.30

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

1.00%

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