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Mega-Cap Barbell: Top Gainers plus Most Stable vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

buy-and-hold, concentrated, low drawdown, momentum, rules-based, us large-cap equities

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.02

—

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

0.87

—

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

0.88

—

Trading activity

Annualized turnover, backtest period (backtest)

6.79

—

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

5.63

—

Daily win rate, backtest period (backtest)

57.72%

—

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

56.78%

—

Backtest

Backtest final value (from $10,000)

$189k

—

Backtest regulatory fees

$127

—

Backtest slippage cost

$916

—

Returns

Backtest length

3,259

—

Out-of-sample length

553

—

Return, backtest period (annualized) (backtest)

25.51%

—

Return, backtest period (cumulative) (backtest)

1791%

—

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

20.09%

76.55%

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

48.89%

3.91%

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

-0.01%

—

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

1.68%

0.00%

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

0.22%

—

Return, trailing 1 year (backtest)

6.37%

—

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

5.25%

0.00%

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

1.94%

—

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

1.88%

0.00%

SPY annualized return over the backtest window (backtest)

13.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.90

—

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

1.03

180.23

Maximum drawdown, backtest period (backtest)

-28.45%

—

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

-19.58%

-0.42%

Sharpe ratio, backtest period (backtest)

1.27

—

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

1.21

9.00

Sortino ratio, backtest period (backtest)

1.84

—

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

1.84

—

Standard deviation, backtest period (backtest)

19.30%

—

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

16.28%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.11

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

1.00%

—

Rebalance frequency

none

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