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Industrials Laggard Buys with Gold/T-Bill Fallback vs Rising Rates Volatility Switch Risk-Parity Mix

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, etfs and single stocks, mean reversion, trend filter, us industrials, volatility hedge

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.21

—

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

0.68

—

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

0.28

—

Trading activity

Annualized turnover, backtest period (backtest)

58.64

—

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

58.65

—

Daily win rate, backtest period (backtest)

45.91%

—

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

45.91%

—

Backtest

Backtest final value (from $10,000)

$13k

—

Backtest regulatory fees

$20

—

Backtest slippage cost

$136

—

Returns

Backtest length

220

—

Out-of-sample length

220

—

Return, backtest period (annualized) (backtest)

30.19%

—

Return, backtest period (cumulative) (backtest)

26.03%

—

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

39.54%

3.62%

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

33.76%

2.81%

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

-0.18%

—

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

-6.48%

0.34%

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

-0.96%

—

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

80.24%

6.30%

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

-3.23%

—

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

-5.17%

0.95%

SPY annualized return over the backtest window (backtest)

15.74%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.94

—

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

2.73

331.36

Maximum drawdown, backtest period (backtest)

-15.59%

—

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

-14.48%

-0.01%

Sharpe ratio, backtest period (backtest)

1.02

—

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

1.24

18.06

Sortino ratio, backtest period (backtest)

2.01

—

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

2.01

—

Standard deviation, backtest period (backtest)

30.44%

—

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

30.75%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.30

—

Construction

Logic complexity (node count)

259

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

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