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HYG/TMF Bond Regime Switch for 3x Nasdaq and Treasuries vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

bond-vs-cash regime, leveraged etfs, momentum, multi-asset, tactical allocation, trend-following, volatility hedge

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

-0.12

—

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

2.43

—

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

0.77

—

Trading activity

Annualized turnover, backtest period (backtest)

40.05

—

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

48.26

—

Daily win rate, backtest period (backtest)

55.40%

—

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

66.41%

—

Backtest

Backtest final value (from $10,000)

$257.7M

—

Backtest regulatory fees

$680k

—

Backtest slippage cost

$6.5M

—

Returns

Backtest length

3,964

—

Out-of-sample length

658

—

Return, backtest period (annualized) (backtest)

90.70%

—

Return, backtest period (cumulative) (backtest)

2577k%

—

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

24.77%

76.55%

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

78.37%

3.91%

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

0.04%

—

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

-4.37%

0.00%

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

1.26%

—

Return, trailing 1 year (backtest)

17.77%

—

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

17.75%

0.00%

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

-4.80%

—

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

-2.50%

0.00%

SPY annualized return over the backtest window (backtest)

14.20%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.00

—

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

0.55

180.23

Maximum drawdown, backtest period (backtest)

-45.36%

—

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

-45.36%

-0.42%

Sharpe ratio, backtest period (backtest)

1.60

—

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

0.69

9.00

Sortino ratio, backtest period (backtest)

2.55

—

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

1.06

—

Standard deviation, backtest period (backtest)

47.18%

—

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

49.57%

6.75%

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