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Emerging Markets Tactical: Dollar Direction, Leveraged EM vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

currency (usd), emerging markets, leveraged etfs, single-position, tactical allocation, treasuries, trend following, volatility hedge

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.55

—

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

-0.95

—

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

-0.30

—

Trading activity

Annualized turnover, backtest period (backtest)

67.42

—

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

60.09

—

Daily win rate, backtest period (backtest)

53.03%

—

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

50.10%

—

Backtest

Backtest final value (from $10,000)

$8.5M

—

Backtest regulatory fees

$41k

—

Backtest slippage cost

$353k

—

Returns

Backtest length

3,215

—

Out-of-sample length

998

—

Return, backtest period (annualized) (backtest)

69.57%

—

Return, backtest period (cumulative) (backtest)

84k%

—

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

24.34%

76.55%

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

137.18%

3.91%

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

-3.08%

—

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

3.78%

0.00%

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

3.58%

—

Return, trailing 1 year (backtest)

-17.37%

—

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

-17.39%

0.00%

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

5.24%

—

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

16.14%

0.00%

SPY annualized return over the backtest window (backtest)

13.86%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.17

—

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

0.41

180.23

Maximum drawdown, backtest period (backtest)

-59.31%

—

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

-59.31%

-0.42%

Sharpe ratio, backtest period (backtest)

1.27

—

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

0.69

9.00

Sortino ratio, backtest period (backtest)

1.98

—

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

1.04

—

Standard deviation, backtest period (backtest)

52.14%

—

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

49.77%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

1.00

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

—

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