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Daily TQQQ Switcher with Bond-Stock 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)

bonds vs stocks, daily rebalance, high risk, leveraged, mean reversion, momentum, tactical allocation, trend-following, volatility hedge

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)

-0.09

—

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

1.95

—

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

0.66

—

Trading activity

Annualized turnover, backtest period (backtest)

43.23

—

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

48.61

—

Daily win rate, backtest period (backtest)

49.72%

—

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

61.66%

—

Backtest

Backtest final value (from $10,000)

$540.3M

—

Backtest regulatory fees

$1.4M

—

Backtest slippage cost

$13.6M

—

Returns

Backtest length

3,775

—

Out-of-sample length

686

—

Return, backtest period (annualized) (backtest)

106.94%

—

Return, backtest period (cumulative) (backtest)

5403k%

—

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

22.86%

76.55%

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

75.28%

3.91%

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

0.02%

—

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

10.54%

0.00%

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

0.07%

—

Return, trailing 1 year (backtest)

10.64%

—

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

10.62%

0.00%

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

0.15%

—

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

12.08%

0.00%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.71

—

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

0.58

180.23

Maximum drawdown, backtest period (backtest)

-39.45%

—

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

-39.46%

-0.42%

Sharpe ratio, backtest period (backtest)

1.87

—

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

0.67

9.00

Sortino ratio, backtest period (backtest)

3.33

—

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

1.02

—

Standard deviation, backtest period (backtest)

43.99%

—

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

45.63%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.97

—

Construction

Logic complexity (node count)

—

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