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Monthly Nasdaq Top 10 with 10-Month Trend Filter vs Rising Rates Volatility Switch Risk-Parity Mix

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)

momentum, monthly rebalance, nasdaq mega-caps, tactical asset allocation, treasuries hedge, trend-following, us large-cap

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

0.78

—

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

0.70

—

Trading activity

Annualized turnover, backtest period (backtest)

2.73

—

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

2.79

—

Daily win rate, backtest period (backtest)

56.69%

—

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

56.12%

—

Backtest

Backtest final value (from $10,000)

$111k

—

Backtest regulatory fees

$24

—

Backtest slippage cost

$180

—

Returns

Backtest length

2,944

—

Out-of-sample length

891

—

Return, backtest period (annualized) (backtest)

22.89%

—

Return, backtest period (cumulative) (backtest)

1012%

—

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

25.51%

3.62%

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

123.51%

2.81%

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

0.47%

—

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

2.73%

0.34%

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

0.85%

—

Return, trailing 1 year (backtest)

2.69%

—

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

2.69%

6.30%

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

0.92%

—

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

0.56%

0.95%

SPY annualized return over the backtest window (backtest)

13.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.78

—

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

1.69

331.36

Maximum drawdown, backtest period (backtest)

-29.38%

—

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

-15.13%

-0.01%

Sharpe ratio, backtest period (backtest)

1.22

—

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

1.48

18.06

Sortino ratio, backtest period (backtest)

1.72

—

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

2.17

—

Standard deviation, backtest period (backtest)

18.22%

—

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

16.32%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.12

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

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