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Monthly Top-2 Momentum in Large Stocks, Oil and Uranium 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)

concentrated (2 positions), includes leveraged oil fund, large-cap us & canada, momentum, monthly rebalancing, sector rotation, uranium exposure

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)

0.22

—

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

1.17

—

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

0.50

—

Trading activity

Annualized turnover, backtest period (backtest)

12.07

—

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

12.49

—

Daily win rate, backtest period (backtest)

55.13%

—

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

55.22%

—

Backtest

Backtest final value (from $10,000)

$6.7M

—

Backtest regulatory fees

$3,835

—

Backtest slippage cost

$32k

—

Returns

Backtest length

2,817

—

Out-of-sample length

920

—

Return, backtest period (annualized) (backtest)

78.91%

—

Return, backtest period (cumulative) (backtest)

67k%

—

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

48.30%

3.62%

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

322.20%

2.81%

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

1.03%

—

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

11.53%

0.34%

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

4.33%

—

Return, trailing 1 year (backtest)

90.95%

—

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

90.95%

6.30%

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

10.26%

—

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

3.69%

0.95%

SPY annualized return over the backtest window (backtest)

14.33%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.85

—

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

1.24

331.36

Maximum drawdown, backtest period (backtest)

-42.64%

—

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

-38.91%

-0.01%

Sharpe ratio, backtest period (backtest)

1.63

—

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

1.31

18.06

Sortino ratio, backtest period (backtest)

2.52

—

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

1.99

—

Standard deviation, backtest period (backtest)

40.80%

—

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

34.67%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

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