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Multi-Asset Heat/Trend Rotation, Energy/Vol Sleeves 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)

bonds, commodities, hedged, mean reversion, multi-asset, risk-managed, tactical asset allocation, tech-tilt, trend following, volatility-aware

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)

0.08

—

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

0.50

—

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

0.61

—

Trading activity

Annualized turnover, backtest period (backtest)

35.84

—

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

39.86

—

Daily win rate, backtest period (backtest)

60.22%

—

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

54.32%

—

Backtest

Backtest final value (from $10,000)

$2.2M

—

Backtest regulatory fees

$6,963

—

Backtest slippage cost

$57k

—

Returns

Backtest length

3,499

—

Out-of-sample length

532

—

Return, backtest period (annualized) (backtest)

47.56%

—

Return, backtest period (cumulative) (backtest)

22k%

—

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

18.39%

11.23%

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

42.34%

0.81%

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

-0.15%

—

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

0.30%

0.00%

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

-1.19%

—

Return, trailing 1 year (backtest)

11.38%

—

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

12.87%

0.00%

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

-0.21%

—

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

4.83%

0.00%

SPY annualized return over the backtest window (backtest)

15.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.45

—

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

2.11

14.66

Maximum drawdown, backtest period (backtest)

-8.73%

—

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

-8.73%

-0.77%

Sharpe ratio, backtest period (backtest)

3.34

—

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

1.33

3.90

Sortino ratio, backtest period (backtest)

7.28

—

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

2.55

—

Standard deviation, backtest period (backtest)

11.89%

—

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

13.40%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.10

—

Construction

Logic complexity (node count)

1,075

—

Rebalance frequency

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