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Five-Asset 200-Day Trend Timing with T-Bill Fallback vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

diversification, etfs, moving average, multi-asset, risk management, tactical asset allocation, trend-following

bonds/cash, defensive sectors, leverage overlay, managed futures, risk-on/risk-off, tactical allocation, trend-following

Asset classes / instruments

equities

Market-relative

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

0.03

—

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

0.26

—

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

0.62

—

Trading activity

Annualized turnover, backtest period (backtest)

1.96

—

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

1.96

—

Daily win rate, backtest period (backtest)

54.88%

—

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

56.10%

—

Backtest

Backtest final value (from $10,000)

$25k

—

Backtest regulatory fees

$16

—

Backtest slippage cost

$87

—

Returns

Backtest length

4,973

—

Out-of-sample length

1,173

—

Return, backtest period (annualized) (backtest)

4.77%

—

Return, backtest period (cumulative) (backtest)

151.05%

—

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

6.98%

11.23%

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

36.74%

0.81%

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

0.04%

—

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

-1.02%

0.00%

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

-0.10%

—

Return, trailing 1 year (backtest)

16.08%

—

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

17.15%

0.00%

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

0.40%

—

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

3.12%

0.00%

SPY annualized return over the backtest window (backtest)

10.92%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.22

—

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

0.79

14.66

Maximum drawdown, backtest period (backtest)

-22.12%

—

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

-8.87%

-0.77%

Sharpe ratio, backtest period (backtest)

0.58

—

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

0.99

3.90

Sortino ratio, backtest period (backtest)

0.79

—

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

1.39

—

Standard deviation, backtest period (backtest)

8.67%

—

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

7.05%

2.89%

Holdings

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

0.34

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

daily

Popularity

Remixes (copies)

110

—

Watchers

151

—

Risk score

Risk rating (Composer data field)

Moderate

—

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