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Monthly Best-of-Five Index ETF Momentum (Stocks/Bonds) 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)

etf rotation, momentum, monthly, multi-asset, tactical 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)

-0.03

—

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

0.90

—

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

0.78

—

Trading activity

Annualized turnover, backtest period (backtest)

5.55

—

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

5.16

—

Daily win rate, backtest period (backtest)

54.33%

—

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

51.92%

—

Backtest

Backtest final value (from $10,000)

$190k

—

Backtest regulatory fees

$240

—

Backtest slippage cost

$2,044

—

Returns

Backtest length

5,857

—

Out-of-sample length

1,173

—

Return, backtest period (annualized) (backtest)

13.50%

—

Return, backtest period (cumulative) (backtest)

1799%

—

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

9.55%

11.23%

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

52.65%

0.81%

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

-2.50%

—

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

-2.33%

0.00%

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

-3.71%

—

Return, trailing 1 year (backtest)

13.48%

—

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

20.86%

0.00%

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

-5.00%

—

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

-4.93%

0.00%

SPY annualized return over the backtest window (backtest)

11.14%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.31

—

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

0.30

14.66

Maximum drawdown, backtest period (backtest)

-43.22%

—

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

-32.19%

-0.77%

Sharpe ratio, backtest period (backtest)

0.75

—

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

0.56

3.90

Sortino ratio, backtest period (backtest)

1.07

—

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

0.73

—

Standard deviation, backtest period (backtest)

19.57%

—

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

19.76%

2.89%

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

daily

Popularity

Remixes (copies)

756

—

Watchers

1,008

—

Risk score

Risk rating (Composer data field)

Aggressive

—

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