Side-by-side comparison

Compare investment strategies

Fixed-Weight Meta, Amazon, PayPal and AMD Hold 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)

buy-and-hold, concentrated equities, single-stock risk, tech-heavy, us large-cap growth

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)

-0.06

—

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

1.48

—

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

0.77

—

Trading activity

Annualized turnover, backtest period (backtest)

1.25

—

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

1.54

—

Daily win rate, backtest period (backtest)

55.23%

—

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

53.35%

—

Backtest

Backtest final value (from $10,000)

$143k

—

Backtest regulatory fees

—

Backtest slippage cost

$25

—

Returns

Backtest length

2,839

—

Out-of-sample length

403

—

Return, backtest period (annualized) (backtest)

26.63%

—

Return, backtest period (cumulative) (backtest)

1331%

—

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

26.53%

76.55%

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

45.01%

3.91%

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

-3.17%

—

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

8.78%

0.00%

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

-3.38%

—

Return, trailing 1 year (backtest)

15.15%

—

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

14.90%

0.00%

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

-2.95%

—

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

14.70%

0.00%

SPY annualized return over the backtest window (backtest)

14.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.40

—

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

1.03

180.23

Maximum drawdown, backtest period (backtest)

-66.06%

—

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

-25.65%

-0.42%

Sharpe ratio, backtest period (backtest)

0.91

—

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

0.88

9.00

Sortino ratio, backtest period (backtest)

1.31

—

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

1.26

—

Standard deviation, backtest period (backtest)

31.59%

—

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

32.86%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.35

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

—

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