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Mama Bear Top-3 Monthly Momentum Across Nine Assets vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

equal weight, momentum rotation, monthly rebalance, multi-asset, rules-based, tactical asset allocation, trend following

bonds/cash, defensive sectors, leverage overlay, managed futures, risk-on/risk-off, tactical allocation, trend-following

Asset classes / instruments

equities

Market-relative

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

0.17

—

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

0.38

—

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

0.45

—

Trading activity

Annualized turnover, backtest period (backtest)

3.48

—

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

2.89

—

Daily win rate, backtest period (backtest)

54.12%

—

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

58.27%

—

Backtest

Backtest final value (from $10,000)

$46k

—

Backtest regulatory fees

$29

—

Backtest slippage cost

$204

—

Returns

Backtest length

4,728

—

Out-of-sample length

405

—

Return, backtest period (annualized) (backtest)

8.45%

—

Return, backtest period (cumulative) (backtest)

358.25%

—

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

29.73%

11.23%

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

51.16%

0.81%

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

-0.48%

—

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

-1.33%

0.00%

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

-1.55%

—

Return, trailing 1 year (backtest)

19.39%

—

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

26.78%

0.00%

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

-1.74%

—

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

4.94%

0.00%

SPY annualized return over the backtest window (backtest)

11.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.28

—

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

4.56

14.66

Maximum drawdown, backtest period (backtest)

-29.91%

—

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

-6.52%

-0.77%

Sharpe ratio, backtest period (backtest)

0.66

—

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

1.90

3.90

Sortino ratio, backtest period (backtest)

0.92

—

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

2.58

—

Standard deviation, backtest period (backtest)

13.66%

—

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

14.27%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

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