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FINVIZ-Screened Nasdaq-X Mega-Cap Momentum Rotation vs Weekly Momentum Allocator: ETFs, Blue Chips and Growth

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, defensive rotation, dividend growth, large-cap tech tilt, momentum, regime-switching, tactical 3x etfs, treasuries, us equities

ballast (cash/dividends/gold/tips/energy), blue chips, growth/ai tilt, multi-asset rotation, recent-winner selection, weekly rebalance

Asset classes / instruments

equities

Market-relative

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

0.22

—

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

1.34

—

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

0.57

—

Trading activity

Annualized turnover, backtest period (backtest)

43.86

—

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

46.89

—

Daily win rate, backtest period (backtest)

53.76%

—

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

55.44%

—

Backtest

Backtest final value (from $10,000)

$6.1M

—

Backtest regulatory fees

$15k

—

Backtest slippage cost

$129k

—

Returns

Backtest length

3,573

—

Out-of-sample length

965

—

Return, backtest period (annualized) (backtest)

57.18%

—

Return, backtest period (cumulative) (backtest)

61k%

—

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

52.86%

103.09%

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

408.65%

4.90%

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

0.20%

—

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

0.83%

-4.41%

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

-0.23%

—

Return, trailing 1 year (backtest)

64.26%

—

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

64.26%

0.00%

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

-2.67%

—

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

-3.31%

0.00%

SPY annualized return over the backtest window (backtest)

15.19%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.73

—

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

1.98

64.30

Maximum drawdown, backtest period (backtest)

-33.07%

—

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

-26.72%

-1.60%

Sharpe ratio, backtest period (backtest)

1.50

—

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

1.37

6.66

Sortino ratio, backtest period (backtest)

2.58

—

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

2.39

—

Standard deviation, backtest period (backtest)

34.00%

—

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

35.48%

11.42%

Quality

Community review status

ACTIVE

—

Holdings

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

0.41

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

weekly

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