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Cherries Leveraged Dip Buying with Junk Bond Signals 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)

leveraged etfs, mean reversion, multi-asset, regime switching, 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)

0.03

—

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

1.36

—

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

0.82

—

Trading activity

Annualized turnover, backtest period (backtest)

32.83

—

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

34.78

—

Daily win rate, backtest period (backtest)

58.46%

—

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

55.14%

—

Backtest

Backtest final value (from $10,000)

$29.4M

—

Backtest regulatory fees

$65k

—

Backtest slippage cost

$568k

—

Returns

Backtest length

3,717

—

Out-of-sample length

506

—

Return, backtest period (annualized) (backtest)

71.82%

—

Return, backtest period (cumulative) (backtest)

294k%

—

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

27.36%

76.55%

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

61.73%

3.91%

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

-3.24%

—

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

2.27%

0.00%

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

-2.49%

—

Return, trailing 1 year (backtest)

19.01%

—

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

22.28%

0.00%

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

-2.85%

—

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

7.15%

0.00%

SPY annualized return over the backtest window (backtest)

14.86%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.10

—

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

1.18

180.23

Maximum drawdown, backtest period (backtest)

-23.17%

—

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

-23.17%

-0.42%

Sharpe ratio, backtest period (backtest)

2.17

—

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

1.02

9.00

Sortino ratio, backtest period (backtest)

4.48

—

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

1.74

—

Standard deviation, backtest period (backtest)

26.50%

—

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

27.24%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

386

—

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