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Emerging Markets Trend Regime for TQQQ and Treasuries vs Rising Rates Volatility Switch Risk-Parity Mix

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)

leveraged etfs, momentum, regime filter, risk-on/risk-off, tactical allocation, trend-following, volatility timing

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

-0.11

—

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

3.67

—

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

0.92

—

Trading activity

Annualized turnover, backtest period (backtest)

6.60

—

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

5.50

—

Daily win rate, backtest period (backtest)

56.87%

—

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

57.03%

—

Backtest

Backtest final value (from $10,000)

$23.8M

—

Backtest regulatory fees

$8,802

—

Backtest slippage cost

$80k

—

Returns

Backtest length

3,775

—

Out-of-sample length

733

—

Return, backtest period (annualized) (backtest)

68.01%

—

Return, backtest period (cumulative) (backtest)

238k%

—

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

69.85%

3.62%

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

367.86%

2.81%

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

1.31%

—

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

13.82%

0.34%

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

0.33%

—

Return, trailing 1 year (backtest)

27.86%

—

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

27.86%

6.30%

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

2.11%

—

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

6.68%

0.95%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.97

—

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

1.20

331.36

Maximum drawdown, backtest period (backtest)

-69.92%

—

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

-58.04%

-0.01%

Sharpe ratio, backtest period (backtest)

1.30

—

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

1.18

18.06

Sortino ratio, backtest period (backtest)

1.93

—

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

1.74

—

Standard deviation, backtest period (backtest)

49.63%

—

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

60.60%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

Rebalance frequency

none

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