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Fund Surfing Milder Dip Buying and Momentum Mix 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)

commodities, defensive rotation, leveraged etfs, mean-reversion, momentum, regime-switching, treasuries, volatility filter

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)

0.01

—

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

2.82

—

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

0.75

—

Trading activity

Annualized turnover, backtest period (backtest)

47.00

—

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

44.46

—

Daily win rate, backtest period (backtest)

55.50%

—

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

55.43%

—

Backtest

Backtest final value (from $10,000)

$25.4M

—

Backtest regulatory fees

$57k

—

Backtest slippage cost

$491k

—

Returns

Backtest length

3,755

—

Out-of-sample length

958

—

Return, backtest period (annualized) (backtest)

69.21%

—

Return, backtest period (cumulative) (backtest)

254k%

—

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

49.96%

3.62%

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

367.36%

2.81%

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

-1.07%

—

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

-0.25%

0.34%

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

-5.27%

—

Return, trailing 1 year (backtest)

55.39%

—

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

55.38%

6.30%

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

-2.02%

—

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

-11.05%

0.95%

SPY annualized return over the backtest window (backtest)

15.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.00

—

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

0.72

331.36

Maximum drawdown, backtest period (backtest)

-69.09%

—

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

-69.10%

-0.01%

Sharpe ratio, backtest period (backtest)

1.35

—

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

1.00

18.06

Sortino ratio, backtest period (backtest)

2.03

—

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

1.42

—

Standard deviation, backtest period (backtest)

47.35%

—

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

56.48%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.40

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

20.00%

5.00%

Rebalance frequency

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