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Monthly Momentum Winner in Four Asset Lanes 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, global, momentum, monthly rebalance, multi-asset, 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)

0.01

—

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

0.49

—

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

0.66

—

Trading activity

Annualized turnover, backtest period (backtest)

4.46

—

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

4.88

—

Daily win rate, backtest period (backtest)

55.26%

—

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

54.05%

—

Backtest

Backtest final value (from $10,000)

$36k

—

Backtest regulatory fees

$28

—

Backtest slippage cost

$210

—

Returns

Backtest length

3,601

—

Out-of-sample length

1,173

—

Return, backtest period (annualized) (backtest)

9.39%

—

Return, backtest period (cumulative) (backtest)

260.52%

—

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

7.85%

11.23%

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

41.93%

0.81%

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

-0.36%

—

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

-0.76%

0.00%

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

-0.98%

—

Return, trailing 1 year (backtest)

4.78%

—

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

8.67%

0.00%

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

-1.09%

—

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

3.88%

0.00%

SPY annualized return over the backtest window (backtest)

15.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.43

—

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

0.45

14.66

Maximum drawdown, backtest period (backtest)

-21.88%

—

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

-17.42%

-0.77%

Sharpe ratio, backtest period (backtest)

0.78

—

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

0.66

3.90

Sortino ratio, backtest period (backtest)

1.08

—

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

0.89

—

Standard deviation, backtest period (backtest)

12.50%

—

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

12.71%

2.89%

Holdings

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

0.25

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

daily

Popularity

Remixes (copies)

152

—

Watchers

314

—

Risk score

Risk rating (Composer data field)

Moderate

—

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