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Hello Algo World: Tech Trend, Dollar, Anti-Beta Defense vs Defensive/Offensive SPY-QQQ Switch with RSI Sleeve

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)

daily rebalance, etf rotation, macro signals, momentum, risk-on/risk-off, tactical asset allocation, tech tilt, trend following

bonds, defensive equities, managed futures, risk management, sector rotation, tactical asset allocation, trend following

Asset classes / instruments

equities

Market-relative

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

0.05

—

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

0.96

—

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

0.65

—

Trading activity

Annualized turnover, backtest period (backtest)

29.89

—

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

26.32

—

Daily win rate, backtest period (backtest)

55.34%

—

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

54.75%

—

Backtest

Backtest final value (from $10,000)

$128k

—

Backtest regulatory fees

$375

—

Backtest slippage cost

$2,746

—

Returns

Backtest length

2,407

—

Out-of-sample length

758

—

Return, backtest period (annualized) (backtest)

30.55%

—

Return, backtest period (cumulative) (backtest)

1177%

—

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

26.95%

11.26%

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

105.17%

0.81%

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

0.63%

—

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

-1.83%

0.00%

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

0.65%

—

Return, trailing 1 year (backtest)

8.66%

—

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

8.66%

0.00%

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

-1.07%

—

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

-9.76%

0.00%

SPY annualized return over the backtest window (backtest)

15.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.34

—

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

1.18

15.10

Maximum drawdown, backtest period (backtest)

-22.77%

—

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

-22.77%

-0.75%

Sharpe ratio, backtest period (backtest)

1.31

—

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

1.17

3.64

Sortino ratio, backtest period (backtest)

1.96

—

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

1.72

—

Standard deviation, backtest period (backtest)

22.23%

—

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

22.62%

3.10%

Quality

Community review status

ACTIVE

—

Holdings

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

0.91

—

Construction

Logic complexity (node count)

113

—

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