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Cautious Fund Surfing 3x with T-Bill Parking 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)

buy-the-dip, leveraged etfs, momentum/trend, risk management, t-bills, tactical allocation, treasuries, us equities, volatility targeting

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)

-0.07

—

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

2.48

—

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

0.89

—

Trading activity

Annualized turnover, backtest period (backtest)

20.52

—

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

16.04

—

Daily win rate, backtest period (backtest)

55.44%

—

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

58.54%

—

Backtest

Backtest final value (from $10,000)

$226k

—

Backtest regulatory fees

$279

—

Backtest slippage cost

$2,014

—

Returns

Backtest length

1,600

—

Out-of-sample length

878

—

Return, backtest period (annualized) (backtest)

63.35%

—

Return, backtest period (cumulative) (backtest)

2159%

—

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

43.66%

40.01%

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

253.81%

2.98%

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

1.00%

—

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

-1.43%

2.98%

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

1.91%

—

Return, trailing 1 year (backtest)

29.68%

—

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

29.68%

0.00%

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

-0.76%

—

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

-1.82%

2.82%

SPY annualized return over the backtest window (backtest)

17.66%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.29

—

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

0.89

28.47

Maximum drawdown, backtest period (backtest)

-49.21%

—

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

-49.21%

-1.41%

Sharpe ratio, backtest period (backtest)

1.51

—

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

1.08

3.57

Sortino ratio, backtest period (backtest)

2.39

—

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

1.67

—

Standard deviation, backtest period (backtest)

37.01%

—

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

41.40%

10.03%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

1,693

—

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