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Monthly Sector Rotation by QQQ 200-Day Trend 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)

momentum, monthly rebalance, rsi contrarian, sector rotation, trend filter (qqq 200‑day ema), u.s. sectors

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)

-0.02

—

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

1.06

—

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

0.84

—

Trading activity

Annualized turnover, backtest period (backtest)

5.46

—

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

5.88

—

Daily win rate, backtest period (backtest)

55.41%

—

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

54.87%

—

Backtest

Backtest final value (from $10,000)

$68k

—

Backtest regulatory fees

$41

—

Backtest slippage cost

$327

—

Returns

Backtest length

2,756

—

Out-of-sample length

995

—

Return, backtest period (annualized) (backtest)

19.13%

—

Return, backtest period (cumulative) (backtest)

578.44%

—

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

20.34%

11.23%

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

107.85%

0.81%

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

0.11%

—

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

2.81%

0.00%

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

1.60%

—

Return, trailing 1 year (backtest)

17.62%

—

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

17.62%

0.00%

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

3.13%

—

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

8.31%

0.00%

SPY annualized return over the backtest window (backtest)

14.82%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.60

—

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

1.08

14.66

Maximum drawdown, backtest period (backtest)

-32.14%

—

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

-18.80%

-0.77%

Sharpe ratio, backtest period (backtest)

0.93

—

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

1.05

3.90

Sortino ratio, backtest period (backtest)

1.33

—

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

1.53

—

Standard deviation, backtest period (backtest)

21.37%

—

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

19.52%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.39

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

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