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Calm Regime Short-Vol/Stocks, Anti-Beta Defense 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)

daily rebalanced, defensive, mean reversion, momentum, tactical allocation, trend following, volatility hedging

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)

0.09

—

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

0.37

—

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

0.26

—

Trading activity

Annualized turnover, backtest period (backtest)

54.31

—

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

56.22

—

Daily win rate, backtest period (backtest)

53.17%

—

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

51.08%

—

Backtest

Backtest final value (from $10,000)

$32k

—

Backtest regulatory fees

$190

—

Backtest slippage cost

$1,289

—

Returns

Backtest length

1,341

—

Out-of-sample length

650

—

Return, backtest period (annualized) (backtest)

24.51%

—

Return, backtest period (cumulative) (backtest)

221.38%

—

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

14.90%

76.55%

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

42.68%

3.91%

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

-1.34%

—

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

0.74%

0.00%

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

-1.33%

—

Return, trailing 1 year (backtest)

-5.57%

—

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

-9.41%

0.00%

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

-1.15%

—

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

8.46%

0.00%

SPY annualized return over the backtest window (backtest)

13.40%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.68

—

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

0.41

180.23

Maximum drawdown, backtest period (backtest)

-35.98%

—

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

-35.97%

-0.42%

Sharpe ratio, backtest period (backtest)

1.18

—

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

0.72

9.00

Sortino ratio, backtest period (backtest)

1.96

—

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

1.17

—

Standard deviation, backtest period (backtest)

20.25%

—

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

22.66%

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