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JEPI/DBMF Core with Conditional TQQQ Sleeve vs Weekly Momentum Allocator: ETFs, Blue Chips and Growth

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)

diversification, equity income, managed futures, monthly rebalance, rules-based, tactical tech tilt, trend filter

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)

0.00

—

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

0.87

—

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

0.87

—

Trading activity

Annualized turnover, backtest period (backtest)

1.34

—

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

1.36

—

Daily win rate, backtest period (backtest)

57.23%

—

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

56.79%

—

Backtest

Backtest final value (from $10,000)

$32k

—

Backtest regulatory fees

—

Backtest slippage cost

$12

—

Returns

Backtest length

1,604

—

Out-of-sample length

898

—

Return, backtest period (annualized) (backtest)

20.17%

—

Return, backtest period (cumulative) (backtest)

222.25%

—

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

20.18%

103.09%

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

92.69%

4.90%

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

0.62%

—

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

5.72%

-4.41%

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

0.83%

—

Return, trailing 1 year (backtest)

14.63%

—

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

14.63%

0.00%

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

1.66%

—

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

5.81%

0.00%

SPY annualized return over the backtest window (backtest)

18.11%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.21

—

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

1.21

64.30

Maximum drawdown, backtest period (backtest)

-16.70%

—

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

-16.70%

-1.60%

Sharpe ratio, backtest period (backtest)

1.32

—

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

1.32

6.66

Sortino ratio, backtest period (backtest)

1.87

—

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

1.88

—

Standard deviation, backtest period (backtest)

14.76%

—

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

14.79%

11.42%

Quality

Community review status

ACTIVE

—

Holdings

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

0.37

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

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