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Mean-Variance Multi-Asset Rotation with Tech Dip Buys vs 50/50 Hedged Rotation and TQQQ Dip-Buy

Every published figureShow 43 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

bonds, commodities, inverse etfs, leveraged etfs, mean-reversion, multi-asset, risk-managed, tactical allocation, trend-following, volatility hedge

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.40

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

35.46

—

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

40.02

—

Daily win rate, backtest period (backtest)

60.67%

—

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

54.60%

—

Backtest

Backtest final value (from $10,000)

$1.4M

—

Backtest regulatory fees

$4,602

—

Backtest slippage cost

$38k

—

Returns

Backtest length

3,499

—

Out-of-sample length

533

—

Return, backtest period (annualized) (backtest)

42.68%

—

Return, backtest period (cumulative) (backtest)

14k%

—

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

15.99%

3.62%

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

36.46%

2.81%

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

0.30%

—

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

0.13%

0.34%

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

-0.54%

—

Return, trailing 1 year (backtest)

10.00%

—

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

9.99%

86.44%

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

0.74%

—

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

5.12%

0.95%

SPY annualized return over the backtest window (backtest)

15.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.29

—

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

2.05

331.36

Maximum drawdown, backtest period (backtest)

-8.07%

—

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

-7.80%

-0.01%

Sharpe ratio, backtest period (backtest)

3.38

—

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

1.30

18.06

Sortino ratio, backtest period (backtest)

7.30

—

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

2.50

—

Standard deviation, backtest period (backtest)

10.71%

—

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

11.95%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.11

—

Construction

Logic complexity (node count)

909

—

Rebalance corridor width

—

9.00%

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