Side-by-side comparison

Compare investment strategies

Dual Momentum US, Tech and International Stocks vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

absolute momentum, bonds, global stocks, momentum, monthly rebalance, relative momentum, tactical allocation, trend following

bonds/cash, defensive sectors, leverage overlay, managed futures, risk-on/risk-off, tactical allocation, trend-following

Asset classes / instruments

equities

Market-relative

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

-0.03

—

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

1.16

—

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

0.91

—

Trading activity

Annualized turnover, backtest period (backtest)

2.40

—

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

4.04

—

Daily win rate, backtest period (backtest)

54.97%

—

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

56.18%

—

Backtest

Backtest final value (from $10,000)

$132k

—

Backtest regulatory fees

$51

—

Backtest slippage cost

$456

—

Returns

Backtest length

4,410

—

Out-of-sample length

874

—

Return, backtest period (annualized) (backtest)

15.89%

—

Return, backtest period (cumulative) (backtest)

1222%

—

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

20.59%

11.23%

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

91.56%

0.81%

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

0.49%

—

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

-1.96%

0.00%

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

0.23%

—

Return, trailing 1 year (backtest)

19.24%

—

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

19.24%

0.00%

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

-1.03%

—

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

-2.69%

0.00%

SPY annualized return over the backtest window (backtest)

16.02%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.56

—

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

1.08

14.66

Maximum drawdown, backtest period (backtest)

-28.56%

—

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

-18.99%

-0.77%

Sharpe ratio, backtest period (backtest)

0.88

—

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

1.09

3.90

Sortino ratio, backtest period (backtest)

1.25

—

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

1.60

—

Standard deviation, backtest period (backtest)

18.76%

—

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

18.90%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

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