Side-by-side comparison

Compare investment strategies

Optimizer-Weighted Multi-Strategy, Nat Gas Long/Short vs Domestic Leveraged Sector Trend Rotation

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, commodities, daily rebalance, leveraged etfs, mean-reversion, multi-asset tactical, trend-following, volatility hedging

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.09

—

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

0.58

—

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

0.53

—

Trading activity

Annualized turnover, backtest period (backtest)

37.26

—

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

39.74

—

Daily win rate, backtest period (backtest)

60.52%

—

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

54.05%

—

Backtest

Backtest final value (from $10,000)

$15.2M

—

Backtest regulatory fees

$41k

—

Backtest slippage cost

$346k

—

Returns

Backtest length

3,663

—

Out-of-sample length

531

—

Return, backtest period (annualized) (backtest)

65.54%

—

Return, backtest period (cumulative) (backtest)

152k%

—

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

21.60%

67.14%

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

50.40%

4.80%

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

-1.11%

—

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

1.25%

4.80%

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

-2.31%

—

Return, trailing 1 year (backtest)

9.56%

—

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

16.18%

0.00%

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

-1.31%

—

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

7.40%

0.00%

SPY annualized return over the backtest window (backtest)

14.38%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.22

—

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

1.39

53.07

Maximum drawdown, backtest period (backtest)

-15.55%

—

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

-15.55%

-1.27%

Sharpe ratio, backtest period (backtest)

3.29

—

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

1.17

4.69

Sortino ratio, backtest period (backtest)

6.82

—

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

2.06

—

Standard deviation, backtest period (backtest)

15.73%

—

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

18.02%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.08

—

Construction

Logic complexity (node count)

3,726

—

Rebalance corridor width

—

1.00%

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