Side-by-side comparison

Compare investment strategies

Cockroach 40/40/20 Offense, Defense and Currency Mix 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, commodities, currencies, income, leveraged etfs, momentum, multi-asset, tactical allocation, trend following, volatility hedging

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)

0.10

—

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

0.64

—

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

0.70

—

Trading activity

Annualized turnover, backtest period (backtest)

21.70

—

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

20.81

—

Daily win rate, backtest period (backtest)

58.33%

—

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

56.53%

—

Backtest

Backtest final value (from $10,000)

$926k

—

Backtest regulatory fees

$1,599

—

Backtest slippage cost

$12k

—

Returns

Backtest length

2,496

—

Out-of-sample length

444

—

Return, backtest period (annualized) (backtest)

57.93%

—

Return, backtest period (cumulative) (backtest)

9156%

—

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

23.50%

67.14%

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

44.44%

4.80%

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

0.75%

—

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

-0.40%

4.80%

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

-0.89%

—

Return, trailing 1 year (backtest)

11.73%

—

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

16.33%

0.00%

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

-1.10%

—

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

3.20%

0.00%

SPY annualized return over the backtest window (backtest)

15.41%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.74

—

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

1.92

53.07

Maximum drawdown, backtest period (backtest)

-12.22%

—

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

-12.22%

-1.27%

Sharpe ratio, backtest period (backtest)

2.75

—

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

1.44

4.69

Sortino ratio, backtest period (backtest)

5.85

—

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

2.26

—

Standard deviation, backtest period (backtest)

17.19%

—

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

15.47%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.05

—

Construction

Logic complexity (node count)

2,034

—

Rebalance corridor width

4.00%

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