Side-by-side comparison

Compare investment strategies

Foreign Rat Emerging Markets Bull/Bear with S&P Trend Sizing 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)

daily rebalance, emerging markets, leveraged etfs, mean reversion (rsi), risk management, tactical allocation, trend following

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)

1.12

—

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

-1.43

—

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

-0.28

—

Trading activity

Annualized turnover, backtest period (backtest)

44.34

—

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

47.52

—

Daily win rate, backtest period (backtest)

52.80%

—

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

51.79%

—

Backtest

Backtest final value (from $10,000)

$122.1M

—

Backtest regulatory fees

$202k

—

Backtest slippage cost

$1.9M

—

Returns

Backtest length

4,479

—

Out-of-sample length

363

—

Return, backtest period (annualized) (backtest)

69.77%

—

Return, backtest period (cumulative) (backtest)

1221k%

—

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

74.02%

3.62%

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

122.60%

2.81%

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

3.08%

—

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

8.52%

0.34%

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

-1.76%

—

Return, trailing 1 year (backtest)

80.42%

—

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

80.38%

6.30%

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

7.52%

—

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

56.89%

0.95%

SPY annualized return over the backtest window (backtest)

14.92%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.15

—

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

1.35

331.36

Maximum drawdown, backtest period (backtest)

-60.44%

—

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

-54.66%

-0.01%

Sharpe ratio, backtest period (backtest)

1.28

—

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

1.19

18.06

Sortino ratio, backtest period (backtest)

1.94

—

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

1.85

—

Standard deviation, backtest period (backtest)

52.21%

—

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

62.97%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.97

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

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