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Four Corners Regime Rotation without Leverage vs Bond and Defensive Signals Gate for TQQQ

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, momentum + mean reversion, no leverage, risk-on/off, tactical multi-asset, volatility hedge

bond signals, daily rebalance, defensive factor, leveraged etf, nasdaq-100, risk-on/off, tactical momentum, trend following

Asset classes / instruments

equities

Market-relative

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

0.05

—

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

0.55

—

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

0.46

—

Trading activity

Annualized turnover, backtest period (backtest)

50.17

—

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

70.43

—

Daily win rate, backtest period (backtest)

56.88%

—

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

52.63%

—

Backtest

Backtest final value (from $10,000)

$10.2M

—

Backtest regulatory fees

$49k

—

Backtest slippage cost

$443k

—

Returns

Backtest length

3,796

—

Out-of-sample length

551

—

Return, backtest period (annualized) (backtest)

58.33%

—

Return, backtest period (cumulative) (backtest)

102k%

—

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

18.56%

207.42%

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

44.62%

17.40%

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

-1.26%

—

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

-1.63%

17.20%

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

-4.69%

—

Return, trailing 1 year (backtest)

-11.73%

—

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

-9.40%

0.00%

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

-4.20%

—

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

3.68%

0.00%

SPY annualized return over the backtest window (backtest)

15.26%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.26

—

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

1.08

43.28

Maximum drawdown, backtest period (backtest)

-17.89%

—

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

-17.14%

-4.79%

Sharpe ratio, backtest period (backtest)

2.46

—

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

0.97

3.80

Sortino ratio, backtest period (backtest)

4.73

—

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

1.38

—

Standard deviation, backtest period (backtest)

19.43%

—

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

19.42%

31.69%

Quality

Community review status

ACTIVE

—

Holdings

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

0.71

—

Construction

Logic complexity (node count)

142

—

Rebalance frequency

daily

Popularity

Remixes (copies)

244

—

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