Side-by-side comparison

Compare investment strategies

Defensive-Sector Trend Signal: QQQ/VOO or Defensives 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)

sector rotation, tactical allocation, trend-following, us equities etfs

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)

-0.00

—

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

1.01

—

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

0.92

—

Trading activity

Annualized turnover, backtest period (backtest)

6.39

—

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

5.04

—

Daily win rate, backtest period (backtest)

54.25%

—

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

54.75%

—

Backtest

Backtest final value (from $10,000)

$89k

—

Backtest regulatory fees

$183

—

Backtest slippage cost

$678

—

Returns

Backtest length

3,670

—

Out-of-sample length

400

—

Return, backtest period (annualized) (backtest)

16.15%

—

Return, backtest period (cumulative) (backtest)

785.57%

—

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

24.66%

3.62%

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

41.27%

2.81%

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

-1.80%

—

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

3.67%

0.34%

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

-2.59%

—

Return, trailing 1 year (backtest)

13.70%

—

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

17.26%

6.30%

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

-3.06%

—

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

4.33%

0.95%

SPY annualized return over the backtest window (backtest)

14.37%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.54

—

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

1.68

331.36

Maximum drawdown, backtest period (backtest)

-29.80%

—

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

-14.66%

-0.01%

Sharpe ratio, backtest period (backtest)

0.98

—

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

1.28

18.06

Sortino ratio, backtest period (backtest)

1.41

—

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

1.78

—

Standard deviation, backtest period (backtest)

16.79%

—

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

18.57%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.47

—

Construction

Logic complexity (node count)

—

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