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Nvidia Core with Mega-Cap Momentum Sleeves vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

concentrated, equities, mega-cap tech, momentum, monthly rebalance, nvda-centric, rules-based

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

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)

1.66

—

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

0.78

—

Trading activity

Annualized turnover, backtest period (backtest)

2.95

—

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

2.77

—

Daily win rate, backtest period (backtest)

54.65%

—

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

54.09%

—

Backtest

Backtest final value (from $10,000)

$5.4M

—

Backtest regulatory fees

$735

—

Backtest slippage cost

$6,067

—

Returns

Backtest length

3,588

—

Out-of-sample length

464

—

Return, backtest period (annualized) (backtest)

55.48%

—

Return, backtest period (cumulative) (backtest)

54k%

—

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

31.68%

76.55%

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

66.18%

3.91%

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

-0.50%

—

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

2.68%

0.00%

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

-1.93%

—

Return, trailing 1 year (backtest)

14.32%

—

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

14.32%

0.00%

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

1.52%

—

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

9.45%

0.00%

SPY annualized return over the backtest window (backtest)

14.97%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.86

—

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

1.07

180.23

Maximum drawdown, backtest period (backtest)

-64.64%

—

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

-29.49%

-0.42%

Sharpe ratio, backtest period (backtest)

1.32

—

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

0.95

9.00

Sortino ratio, backtest period (backtest)

2.05

—

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

1.40

—

Standard deviation, backtest period (backtest)

39.16%

—

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

35.68%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.59

—

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