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Four-Sleeve Regime Mix with Defensive Stock Dip-Buys vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

defensive stocks, leveraged etfs, mean reversion, metals, tactical allocation, treasuries, trend following, volatility hedges

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.17

—

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

0.62

—

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

0.48

—

Trading activity

Annualized turnover, backtest period (backtest)

56.73

—

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

54.24

—

Daily win rate, backtest period (backtest)

56.67%

—

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

58.59%

—

Backtest

Backtest final value (from $10,000)

$154k

—

Backtest regulatory fees

$671

—

Backtest slippage cost

$4,781

—

Returns

Backtest length

1,724

—

Out-of-sample length

355

—

Return, backtest period (annualized) (backtest)

49.07%

—

Return, backtest period (cumulative) (backtest)

1438%

—

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

35.60%

3.62%

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

52.65%

2.81%

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

-1.51%

—

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

2.36%

0.34%

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

-2.00%

—

Return, trailing 1 year (backtest)

28.23%

—

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

31.51%

86.44%

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

-0.29%

—

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

2.83%

0.95%

SPY annualized return over the backtest window (backtest)

15.56%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.97

—

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

3.07

331.36

Maximum drawdown, backtest period (backtest)

-16.50%

—

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

-11.61%

-0.01%

Sharpe ratio, backtest period (backtest)

1.85

—

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

2.02

18.06

Sortino ratio, backtest period (backtest)

3.10

—

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

2.71

—

Standard deviation, backtest period (backtest)

22.99%

—

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

15.75%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.15

—

Construction

Logic complexity (node count)

132

—

Rebalance corridor width

—

9.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

114

—

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