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GLD Macro Momentum: Gold When All Trends Rise, Else SHV vs 100% SGOV Treasury Bill Cash Holder

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)

commodities, daily rebalance, defensive, gold, momentum, rules-based, tactical asset allocation, trend following

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.20

—

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

0.12

—

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

0.10

—

Trading activity

Annualized turnover, backtest period (backtest)

2.38

—

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

3.44

—

Daily win rate, backtest period (backtest)

49.63%

—

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

67.58%

—

Backtest

Backtest final value (from $10,000)

$59k

—

Backtest regulatory fees

$26

—

Backtest slippage cost

$229

—

Returns

Backtest length

4,967

—

Out-of-sample length

879

—

Return, backtest period (annualized) (backtest)

9.46%

—

Return, backtest period (cumulative) (backtest)

493.96%

—

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

22.93%

3.61%

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

105.62%

0.76%

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

0.04%

—

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

0.30%

0.32%

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

0.09%

—

Return, trailing 1 year (backtest)

22.03%

—

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

22.03%

0.00%

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

0.18%

—

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

0.92%

0.00%

SPY annualized return over the backtest window (backtest)

11.02%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.48

—

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

1.19

45148.96

Maximum drawdown, backtest period (backtest)

-19.84%

—

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

-19.21%

-0.00%

Sharpe ratio, backtest period (backtest)

0.85

—

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

1.30

20.28

Sortino ratio, backtest period (backtest)

1.20

—

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

1.83

—

Standard deviation, backtest period (backtest)

11.45%

—

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

17.01%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

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