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Dragon-Style Portfolio with Dual Beta Hedges 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)

bonds, commodities, gold, leveraged etfs, multi-asset, risk-parity, tactical allocation, trend-following, u.s. dollar, volatility hedging

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)

0.79

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

24.58

—

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

27.38

—

Daily win rate, backtest period (backtest)

59.00%

—

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

56.54%

—

Backtest

Backtest final value (from $10,000)

$823k

—

Backtest regulatory fees

$1,978

—

Backtest slippage cost

$15k

—

Returns

Backtest length

3,200

—

Out-of-sample length

879

—

Return, backtest period (annualized) (backtest)

41.51%

—

Return, backtest period (cumulative) (backtest)

8132%

—

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

26.03%

59.79%

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

124.33%

10.36%

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

0.39%

—

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

0.81%

3.10%

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

0.98%

—

Return, trailing 1 year (backtest)

11.67%

—

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

11.67%

0.00%

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

0.56%

—

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

7.63%

0.00%

SPY annualized return over the backtest window (backtest)

13.94%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.02

—

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

1.89

23.98

Maximum drawdown, backtest period (backtest)

-13.76%

—

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

-13.76%

-2.49%

Sharpe ratio, backtest period (backtest)

2.49

—

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

1.55

3.46

Sortino ratio, backtest period (backtest)

4.14

—

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

2.47

—

Standard deviation, backtest period (backtest)

14.37%

—

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

15.77%

14.10%

Quality

Community review status

ACTIVE

—

Holdings

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

0.14

—

Construction

Logic complexity (node count)

347

—

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