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Monthly Nasdaq DeETF RSI Switch and Mega-Cap Basket 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)

concentrated large-cap stocks, leveraged etfs, momentum, monthly rebalance, risk-on/risk-off, tactical allocation, u.s. equities, 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)

0.22

—

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

0.96

—

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

0.44

—

Trading activity

Annualized turnover, backtest period (backtest)

7.46

—

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

7.50

—

Daily win rate, backtest period (backtest)

55.18%

—

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

52.34%

—

Backtest

Backtest final value (from $10,000)

$3.6M

—

Backtest regulatory fees

$1,390

—

Backtest slippage cost

$12k

—

Returns

Backtest length

3,572

—

Out-of-sample length

833

—

Return, backtest period (annualized) (backtest)

51.50%

—

Return, backtest period (cumulative) (backtest)

36k%

—

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

42.84%

3.62%

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

225.42%

2.81%

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

0.03%

—

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

5.10%

0.34%

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

-0.68%

—

Return, trailing 1 year (backtest)

43.78%

—

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

43.78%

86.44%

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

-1.20%

—

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

-14.49%

0.95%

SPY annualized return over the backtest window (backtest)

15.19%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.35

—

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

1.67

331.36

Maximum drawdown, backtest period (backtest)

-38.23%

—

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

-25.65%

-0.01%

Sharpe ratio, backtest period (backtest)

1.56

—

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

1.25

18.06

Sortino ratio, backtest period (backtest)

2.39

—

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

1.94

—

Standard deviation, backtest period (backtest)

29.49%

—

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

32.86%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.34

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

9.00%

Rebalance frequency

monthly

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