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Emerging Markets EEM or Inverse (EUM) Trend Switch vs Top-16 Blue Chips by 1-Year Momentum

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)

daily rebalanced, emerging markets, relative strength, risk-on/risk-off, tactical allocation, trend-following

concentrated (16 stocks), equal‑weight, global equities, large‑cap blue chips, momentum (12‑month), monthly rebalance, rule‑based

Asset classes / instruments

equities

Market-relative

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

0.29

—

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

0.04

—

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

0.03

—

Trading activity

Annualized turnover, backtest period (backtest)

43.23

—

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

44.47

—

Daily win rate, backtest period (backtest)

53.33%

—

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

54.65%

—

Backtest

Backtest final value (from $10,000)

$2.4M

—

Backtest regulatory fees

$8,808

—

Backtest slippage cost

$68k

—

Returns

Backtest length

4,763

—

Out-of-sample length

527

—

Return, backtest period (annualized) (backtest)

33.71%

—

Return, backtest period (cumulative) (backtest)

24k%

—

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

31.27%

98.10%

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

76.85%

4.72%

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

1.06%

—

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

3.41%

-6.75%

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

-0.36%

—

Return, trailing 1 year (backtest)

33.50%

—

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

33.47%

34.18%

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

2.71%

—

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

13.69%

0.98%

SPY annualized return over the backtest window (backtest)

11.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.92

—

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

1.52

39.39

Maximum drawdown, backtest period (backtest)

-36.54%

—

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

-20.56%

-2.49%

Sharpe ratio, backtest period (backtest)

1.20

—

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

1.35

5.75

Sortino ratio, backtest period (backtest)

1.82

—

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

2.06

—

Standard deviation, backtest period (backtest)

27.48%

—

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

21.94%

12.78%

Quality

Community review status

ACTIVE

—

Holdings

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

1.00

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

monthly

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