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Cash-First Tactical Portfolio with Commodity Trends vs D-Fence Trend Switch: SPY or T-Bills with Hedges

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, leveraged etfs, mean reversion, multi-asset tactical, risk-managed, trend-following, volatility hedging

bonds, defensive, inverse-hedge, managed futures, risk-on/off, t-bills, tactical, trend-following

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)

1.25

—

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

0.73

—

Trading activity

Annualized turnover, backtest period (backtest)

31.22

—

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

32.23

—

Daily win rate, backtest period (backtest)

57.73%

—

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

54.79%

—

Backtest

Backtest final value (from $10,000)

$94.5M

—

Backtest regulatory fees

$172k

—

Backtest slippage cost

$1.6M

—

Returns

Backtest length

3,721

—

Out-of-sample length

480

—

Return, backtest period (annualized) (backtest)

85.84%

—

Return, backtest period (cumulative) (backtest)

945k%

—

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

29.04%

40.01%

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

61.71%

2.98%

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

-0.67%

—

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

1.82%

2.98%

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

-0.90%

—

Return, trailing 1 year (backtest)

14.87%

—

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

15.84%

0.00%

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

0.12%

—

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

8.57%

2.82%

SPY annualized return over the backtest window (backtest)

14.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.16

—

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

1.41

28.47

Maximum drawdown, backtest period (backtest)

-20.65%

—

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

-20.66%

-1.41%

Sharpe ratio, backtest period (backtest)

2.55

—

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

1.02

3.57

Sortino ratio, backtest period (backtest)

5.36

—

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

1.90

—

Standard deviation, backtest period (backtest)

25.60%

—

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

28.82%

10.03%

Quality

Community review status

ACTIVE

—

Holdings

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

0.17

—

Construction

Logic complexity (node count)

2,733

—

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