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Pareto Portfolio Weekly Regime Rotation with Panic Guard vs Rising Rates Volatility Switch Risk-Parity Mix

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, cash management, commodities, momentum, regime switching, tactical asset allocation, trend following, u.s. large caps, volatility filter

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.13

—

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

0.60

—

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

0.48

—

Trading activity

Annualized turnover, backtest period (backtest)

61.16

—

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

62.68

—

Daily win rate, backtest period (backtest)

54.99%

—

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

53.47%

—

Backtest

Backtest final value (from $10,000)

$256k

—

Backtest regulatory fees

$1,299

—

Backtest slippage cost

$11k

—

Returns

Backtest length

2,375

—

Out-of-sample length

677

—

Return, backtest period (annualized) (backtest)

41.03%

—

Return, backtest period (cumulative) (backtest)

2458%

—

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

25.35%

3.62%

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

83.66%

2.81%

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

0.14%

—

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

3.52%

0.34%

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

0.02%

—

Return, trailing 1 year (backtest)

14.55%

—

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

14.55%

6.30%

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

1.27%

—

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

4.14%

0.95%

SPY annualized return over the backtest window (backtest)

15.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.72

—

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

1.06

331.36

Maximum drawdown, backtest period (backtest)

-23.85%

—

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

-23.85%

-0.01%

Sharpe ratio, backtest period (backtest)

1.81

—

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

1.27

18.06

Sortino ratio, backtest period (backtest)

2.76

—

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

1.90

—

Standard deviation, backtest period (backtest)

20.14%

—

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

19.24%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

105

—

Rebalance corridor width

5.00%

Rebalance frequency

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