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Commodity Trend and Dip Rotation with T-Bill Fallback vs Rising Rates Volatility Switch Risk-Parity Mix

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)

commodities, energy, gold, leveraged etfs, momentum, natural gas, oil, risk-managed, tactical allocation, trend-following

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.14

—

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

0.23

—

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

0.28

—

Trading activity

Annualized turnover, backtest period (backtest)

12.81

—

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

13.11

—

Daily win rate, backtest period (backtest)

57.61%

—

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

57.73%

—

Backtest

Backtest final value (from $10,000)

$49k

—

Backtest regulatory fees

$125

—

Backtest slippage cost

$584

—

Returns

Backtest length

2,128

—

Out-of-sample length

537

—

Return, backtest period (annualized) (backtest)

20.82%

—

Return, backtest period (cumulative) (backtest)

394.09%

—

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

17.24%

3.62%

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

39.91%

2.81%

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

1.33%

—

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

0.05%

0.34%

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

1.65%

—

Return, trailing 1 year (backtest)

25.62%

—

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

25.30%

6.30%

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

4.13%

—

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

4.04%

0.95%

SPY annualized return over the backtest window (backtest)

15.14%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.41

—

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

1.31

331.36

Maximum drawdown, backtest period (backtest)

-14.76%

—

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

-13.16%

-0.01%

Sharpe ratio, backtest period (backtest)

1.64

—

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

1.25

18.06

Sortino ratio, backtest period (backtest)

2.42

—

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

1.93

—

Standard deviation, backtest period (backtest)

11.99%

—

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

13.49%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.18

—

Construction

Logic complexity (node count)

412

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

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