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NOVA Trend Rotation with Managed Futures and Bond Hedges 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)

bonds momentum, leveraged etfs, managed futures, risk-on/risk-off, tactical rotation, trend-following, volatility hedging

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)

0.65

—

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

2.40

—

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

0.35

—

Trading activity

Annualized turnover, backtest period (backtest)

148.34

—

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

148.11

—

Daily win rate, backtest period (backtest)

54.94%

—

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

55.26%

—

Backtest

Backtest final value (from $10,000)

$648k

—

Backtest regulatory fees

$2,556

—

Backtest slippage cost

$21k

—

Returns

Backtest length

810

—

Out-of-sample length

228

—

Return, backtest period (annualized) (backtest)

265.44%

—

Return, backtest period (cumulative) (backtest)

6376%

—

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

91.40%

3.62%

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

80.39%

2.81%

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

0.32%

—

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

13.32%

0.34%

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

-3.61%

—

Return, trailing 1 year (backtest)

36.40%

—

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

3.21%

86.44%

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

-5.10%

—

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

63.54%

0.95%

SPY annualized return over the backtest window (backtest)

19.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.99

—

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

1.59

331.36

Maximum drawdown, backtest period (backtest)

-66.53%

—

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

-57.31%

-0.01%

Sharpe ratio, backtest period (backtest)

1.97

—

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

1.18

18.06

Sortino ratio, backtest period (backtest)

3.25

—

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

1.77

—

Standard deviation, backtest period (backtest)

83.45%

—

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

88.57%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.99

—

Construction

Logic complexity (node count)

3,874

—

Rebalance corridor width

—

9.00%

Rebalance frequency

daily

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