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Opus 12 Multi-Asset with Managed Futures and Gold vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

commodities, gold hedge, managed futures, multi-asset, rules-based, sector rotation, trend following, value tilt, volatility targeting

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)

0.03

—

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

0.53

—

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

0.84

—

Trading activity

Annualized turnover, backtest period (backtest)

7.84

—

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

8.32

—

Daily win rate, backtest period (backtest)

56.92%

—

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

55.87%

—

Backtest

Backtest final value (from $10,000)

$26k

—

Backtest regulatory fees

$40

—

Backtest slippage cost

$187

—

Returns

Backtest length

1,836

—

Out-of-sample length

1,167

—

Return, backtest period (annualized) (backtest)

13.74%

—

Return, backtest period (cumulative) (backtest)

155.67%

—

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

11.39%

11.23%

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

64.86%

0.81%

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

0.40%

—

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

0.80%

0.00%

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

1.16%

—

Return, trailing 1 year (backtest)

16.34%

—

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

16.35%

0.00%

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

1.02%

—

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

4.77%

0.00%

SPY annualized return over the backtest window (backtest)

15.92%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.63

—

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

0.91

14.66

Maximum drawdown, backtest period (backtest)

-21.73%

—

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

-12.56%

-0.77%

Sharpe ratio, backtest period (backtest)

1.07

—

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

1.06

3.90

Sortino ratio, backtest period (backtest)

1.50

—

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

1.48

—

Standard deviation, backtest period (backtest)

12.76%

—

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

10.76%

2.89%

Holdings

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

0.11

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

2.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

1,364

—

Watchers

1,443

—

Risk score

Risk rating (Composer data field)

Moderate

—

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