Side-by-side comparison

Compare investment strategies

Crisis Factor Stocks with High-Yield Spread Trigger vs Macro-Filtered Short-Term Momentum with Mean Reversion

At a glance

The headline numbers each source publishes, lined up. Hover a number for its exact definition.

These strategies report performance on different (Composite, OOS). Live and composite results come from real accounts; out-of-sample, hypothetical and model results don't. Compare return and risk with care.

5.1%Best

0.0%

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76.5%

13.3%

6.7%Best

0.82

9.00Best

-19.2%

-0.4%Best

Fee

1.00%

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Each source uses its own scale

3.95(0-5 (Quantbase))

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Inception

2022-06-14

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Holdings

—

73%Best

40%

Growth of $10,000

Each line starts at $10,000 on the first date all of them share, using the strategy's own published history. Bases are labelled and never mixed within a line.

Crisis Factor Stocks with High-Yield Spread TriggerCompositeup 56.8%
S&P 500 ETFup 77.5%

No published history to chart: Macro-Filtered Short-Term Momentum with Mean Reversion.

Every published figureShow 38 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

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daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

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equities

Returns

Annual return (Quantbase data field) (basis not stated)

18.42%

—

Backtest end date (Quantbase data field)

2022-07-01

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Return since chart start (cumulative) (client composite)

65.84%

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

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76.55%

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

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3.91%

Return, rolling 1 year (client composite)

5.06%

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

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0.00%

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

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0.00%

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

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0.00%

Cost & access

Brokerage / custodian

Alpaca

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Management / advisory fee

1.00%

—

Risk metrics

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

—

180.23

Daily volatility over the chart range (client composite)

0.84%

—

Max drawdown (Quantbase data field) (basis not stated)

-34.10%

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Max drawdown over the chart range (client composite)

-19.22%

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

—

-0.42%

Monthly volatility over the chart range (client composite)

4.18%

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Sharpe ratio (Quantbase data field) (basis not stated)

1.24

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Sharpe ratio from daily returns over the chart range (client composite)

0.82

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

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9.00

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

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6.75%

Volatility (Quantbase data field) (basis not stated)

1.41%

—

Volatility over the chart range, annualized from daily (×√252) (client composite)

13.33%

—

Market-relative

Correlation to SPY (full history) (client composite)

0.36

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Correlation to SPY (Quantbase data field) (basis not stated)

0.36

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Suitability

Experience minimum: bonds

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Experience minimum: crypto

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Experience minimum: equity

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Experience minimum: leverage

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Experience minimum: options

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Construction

Last rebalance date

2022-07-01

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Rebalance frequency

monthly

daily

Rebalancing (methodology text)

Signal-based

—

Disclosure

Metrics calculated through

2026-10-04

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Risk score

Qualitative risk score (Quantbase data field)

—

Risk score 0-5 (Quantbase)

3.95

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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