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Growth Tilt with Commodities and S&P Drawdown Cash Switch vs Better Than a CD: Tech Trend with T-Bill Defense

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)

cash hedge, commodities sleeve, drawdown trigger, growth tilt, inverse-volatility sizing, risk-on/risk-off, tactical asset allocation

bonds/gold, inverse/short, leveraged etfs, mean reversion, sector rotation, tactical asset allocation, trend-following, volatility hedged

Asset classes / instruments

equities

Market-relative

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

0.06

—

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

0.67

—

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

0.64

—

Trading activity

Annualized turnover, backtest period (backtest)

6.43

—

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

6.50

—

Daily win rate, backtest period (backtest)

55.07%

—

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

58.09%

—

Backtest

Backtest final value (from $10,000)

$71k

—

Backtest regulatory fees

$47

—

Backtest slippage cost

$333

—

Returns

Backtest length

2,911

—

Out-of-sample length

797

—

Return, backtest period (annualized) (backtest)

18.43%

—

Return, backtest period (cumulative) (backtest)

606.22%

—

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

20.06%

4.85%

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

78.42%

4.53%

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

0.75%

—

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

2.04%

0.38%

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

0.85%

—

Return, trailing 1 year (backtest)

16.70%

—

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

16.70%

6.30%

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

0.58%

—

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

10.63%

1.75%

SPY annualized return over the backtest window (backtest)

14.10%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.70

—

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

1.35

9.16

Maximum drawdown, backtest period (backtest)

-26.40%

—

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

-14.88%

-0.53%

Sharpe ratio, backtest period (backtest)

1.15

—

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

1.24

3.47

Sortino ratio, backtest period (backtest)

1.64

—

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

1.78

—

Standard deviation, backtest period (backtest)

15.85%

—

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

15.84%

1.37%

Quality

Community review status

ACTIVE

—

Holdings

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

0.28

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

1.62%

—

Rebalance frequency

none

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