Side-by-side comparison

Compare investment strategies

Frontrunner: Tech Pullbacks, VIX Hedges, Managed Futures vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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)

alternatives, leveraged etfs, managed futures, mean reversion, risk-on/risk-off, tactical allocation, trend & momentum, volatility hedging

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.29

—

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

2.19

—

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

0.60

—

Trading activity

Annualized turnover, backtest period (backtest)

71.26

—

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

72.42

—

Daily win rate, backtest period (backtest)

56.25%

—

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

54.52%

—

Backtest

Backtest final value (from $10,000)

$2.0M

—

Backtest regulatory fees

$6,521

—

Backtest slippage cost

$53k

—

Returns

Backtest length

1,136

—

Out-of-sample length

409

—

Return, backtest period (annualized) (backtest)

225.29%

—

Return, backtest period (cumulative) (backtest)

20k%

—

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

69.28%

261.52%

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

135.47%

6.85%

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

0.45%

—

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

6.57%

1.95%

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

0.53%

—

Return, trailing 1 year (backtest)

49.59%

—

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

49.58%

0.00%

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

0.97%

—

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

14.03%

6.14%

SPY annualized return over the backtest window (backtest)

13.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.85

—

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

1.93

376.45

Maximum drawdown, backtest period (backtest)

-46.47%

—

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

-35.90%

-0.69%

Sharpe ratio, backtest period (backtest)

2.50

—

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

1.12

7.79

Sortino ratio, backtest period (backtest)

4.80

—

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

2.11

—

Standard deviation, backtest period (backtest)

52.40%

—

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

63.14%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.49

—

Construction

Logic complexity (node count)

1,071

—

Rebalance frequency

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