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Global Stocks, Bonds, Gold and Dollar 40/20/20/20 vs Weekly Momentum Allocator: ETFs, Blue Chips and Growth

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)

buy-and-hold, defensive tilt, global, multi-asset, no rebalancing, stocks/bonds/gold/currency

ballast (cash/dividends/gold/tips/energy), blue chips, growth/ai tilt, multi-asset rotation, recent-winner selection, weekly rebalance

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

0.40

—

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

0.75

—

Trading activity

Annualized turnover, backtest period (backtest)

0.70

—

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

0.72

—

Daily win rate, backtest period (backtest)

55.91%

—

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

58.32%

—

Backtest

Backtest final value (from $10,000)

$35k

—

Backtest regulatory fees

—

Backtest slippage cost

—

Returns

Backtest length

4,606

—

Out-of-sample length

511

—

Return, backtest period (annualized) (backtest)

7.08%

—

Return, backtest period (cumulative) (backtest)

249.32%

—

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

15.41%

103.09%

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

33.36%

4.90%

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

-0.47%

—

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

-0.41%

-4.41%

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

-0.74%

—

Return, trailing 1 year (backtest)

6.05%

—

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

12.36%

0.00%

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

-0.69%

—

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

0.96%

0.00%

SPY annualized return over the backtest window (backtest)

12.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.38

—

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

2.37

64.30

Maximum drawdown, backtest period (backtest)

-18.46%

—

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

-6.51%

-1.60%

Sharpe ratio, backtest period (backtest)

0.84

—

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

1.68

6.66

Sortino ratio, backtest period (backtest)

1.18

—

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

2.37

—

Standard deviation, backtest period (backtest)

8.59%

—

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

8.81%

11.42%

Quality

Community review status

ACTIVE

—

Holdings

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

0.17

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

weekly

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