Side-by-side comparison

Compare investment strategies

Managed Futures ETF Lowest-RSI Rotation 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)

alternatives, contrarian, cta, daily rebalance, managed futures, rotation, rsi

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)

0.21

—

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

0.12

—

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

0.14

—

Trading activity

Annualized turnover, backtest period (backtest)

69.59

—

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

59.61

—

Daily win rate, backtest period (backtest)

56.90%

—

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

55.46%

—

Backtest

Backtest final value (from $10,000)

$33k

—

Backtest regulatory fees

$156

—

Backtest slippage cost

$1,099

—

Returns

Backtest length

1,137

—

Out-of-sample length

613

—

Return, backtest period (annualized) (backtest)

30.19%

—

Return, backtest period (cumulative) (backtest)

229.15%

—

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

25.31%

11.23%

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

73.29%

0.81%

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

-0.68%

—

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

11.44%

0.00%

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

0.14%

—

Return, trailing 1 year (backtest)

62.81%

—

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

62.82%

0.00%

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

4.15%

—

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

32.09%

0.00%

SPY annualized return over the backtest window (backtest)

13.78%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.17

—

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

1.82

14.66

Maximum drawdown, backtest period (backtest)

-13.94%

—

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

-13.94%

-0.77%

Sharpe ratio, backtest period (backtest)

2.09

—

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

1.70

3.90

Sortino ratio, backtest period (backtest)

3.29

—

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

2.68

—

Standard deviation, backtest period (backtest)

13.04%

—

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

13.89%

2.89%

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