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Dragon-Style Five-Bucket Portfolio with Beta Hedge vs Beta Breaker BTAL Risk-Off with Top-4 Momentum

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)

all-weather, leveraged etfs, macro, multi-asset, risk parity, tactical, trend & momentum, volatility hedge

btal signal, daily rebalance, leveraged & inverse etfs, momentum + mean reversion, multi-asset, regime switching, risk-on/risk-off

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.76

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

24.52

—

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

27.38

—

Daily win rate, backtest period (backtest)

59.13%

—

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

56.31%

—

Backtest

Backtest final value (from $10,000)

$760k

—

Backtest regulatory fees

$1,860

—

Backtest slippage cost

$14k

—

Returns

Backtest length

3,200

—

Out-of-sample length

879

—

Return, backtest period (annualized) (backtest)

40.63%

—

Return, backtest period (cumulative) (backtest)

7504%

—

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

24.98%

59.79%

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

117.88%

10.36%

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

0.38%

—

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

0.84%

3.10%

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

1.01%

—

Return, trailing 1 year (backtest)

10.91%

—

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

10.91%

0.00%

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

0.61%

—

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

7.07%

0.00%

SPY annualized return over the backtest window (backtest)

13.94%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.07

—

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

1.89

23.98

Maximum drawdown, backtest period (backtest)

-13.25%

—

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

-13.25%

-2.49%

Sharpe ratio, backtest period (backtest)

2.50

—

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

1.55

3.46

Sortino ratio, backtest period (backtest)

4.11

—

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

2.43

—

Standard deviation, backtest period (backtest)

14.06%

—

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

15.19%

14.10%

Quality

Community review status

ACTIVE

—

Holdings

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

0.13

—

Construction

Logic complexity (node count)

392

—

Rebalance corridor width

2.00%

—

Rebalance frequency

none

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