Side-by-side comparison

Compare investment strategies

Equal-Weight QQQ, SPY and Russell Index ETFs vs Macro-Filtered Short-Term Momentum with Mean Reversion

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 rebalance, equal-weight, etf portfolio, long-only, passive, small-cap tilt, tech tilt, us equities

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)

-0.01

—

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

1.06

—

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

0.99

—

Trading activity

Annualized turnover, backtest period (backtest)

0.00

—

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

0.00

—

Daily win rate, backtest period (backtest)

54.91%

—

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

54.65%

—

Backtest

Backtest final value (from $10,000)

$73k

—

Backtest regulatory fees

$111

—

Backtest slippage cost

$50

—

Returns

Backtest length

3,693

—

Out-of-sample length

538

—

Return, backtest period (annualized) (backtest)

14.49%

—

Return, backtest period (cumulative) (backtest)

626.93%

—

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

18.54%

76.55%

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

43.28%

3.91%

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

-1.51%

—

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

1.53%

0.00%

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

-2.13%

—

Return, trailing 1 year (backtest)

14.84%

—

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

18.04%

0.00%

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

-2.55%

—

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

1.68%

0.00%

SPY annualized return over the backtest window (backtest)

14.53%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.42

—

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

0.90

180.23

Maximum drawdown, backtest period (backtest)

-34.42%

—

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

-20.54%

-0.42%

Sharpe ratio, backtest period (backtest)

0.86

—

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

1.06

9.00

Sortino ratio, backtest period (backtest)

1.21

—

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

1.46

—

Standard deviation, backtest period (backtest)

17.53%

—

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

17.48%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.20

—

Construction

Logic complexity (node count)

—

Rebalance frequency

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