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Global Small-Value Stocks, 200-Day SPY Treasury Switch vs Equity, Commodity, EM, Bond Rotator with Leveraged ETFs

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)

global stocks, risk on/off, small-cap value tilt, tactical asset allocation, treasuries hedge, trend-following

daily rebalance, leveraged/inverse etfs, momentum and trend, multi-asset, tactical allocation

Asset classes / instruments

equities

Market-relative

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

—

0.52

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

—

0.24

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

—

0.15

Trading activity

Annualized turnover, backtest period (backtest)

—

49.56

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

—

49.23

Daily win rate, backtest period (backtest)

—

59.44%

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

—

58.06%

Backtest

Backtest final value (from $10,000)

—

$165k

Backtest regulatory fees

—

$424

Backtest slippage cost

—

$3,182

Returns

Backtest length

—

1,600

Out-of-sample length

—

360

Return, backtest period (annualized) (backtest)

—

55.51%

Return, backtest period (cumulative) (backtest)

—

1553%

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

21.26%

74.58%

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

31.81%

122.15%

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

—

0.56%

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

-0.91%

3.32%

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

—

1.24%

Return, trailing 1 year (backtest)

—

87.79%

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

14.01%

87.80%

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

—

0.81%

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

1.41%

15.58%

SPY annualized return over the backtest window (backtest)

—

17.66%

Risk metrics

Calmar ratio, backtest period (backtest)

—

2.92

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

2.43

6.99

Maximum drawdown, backtest period (backtest)

—

-18.98%

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

-8.75%

-10.67%

Sharpe ratio, backtest period (backtest)

—

2.24

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

1.65

2.82

Sortino ratio, backtest period (backtest)

—

3.64

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

—

4.89

Standard deviation, backtest period (backtest)

—

20.65%

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

12.15%

20.58%

Quality

Community review status

—

ACTIVE

Holdings

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

—

0.43

Construction

Logic complexity (node count)

—

405

Rebalance frequency

daily

Popularity

Remixes (copies)

—

152

Watchers

—

116

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