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Pareto Risk-On/Off Rotation with T-Bill Shelter 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)

bonds, commodities, equities, momentum, risk-on/risk-off, tactical asset allocation, volatility filter

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)

0.11

—

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

0.39

—

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

0.33

—

Trading activity

Annualized turnover, backtest period (backtest)

59.79

—

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

62.14

—

Daily win rate, backtest period (backtest)

54.91%

—

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

55.08%

—

Backtest

Backtest final value (from $10,000)

$116k

—

Backtest regulatory fees

$777

—

Backtest slippage cost

$5,927

—

Returns

Backtest length

2,375

—

Out-of-sample length

817

—

Return, backtest period (annualized) (backtest)

29.67%

—

Return, backtest period (cumulative) (backtest)

1059%

—

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

18.62%

11.23%

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

74.05%

0.81%

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

0.11%

—

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

3.32%

0.00%

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

-0.23%

—

Return, trailing 1 year (backtest)

2.14%

—

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

2.19%

0.00%

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

1.06%

—

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

5.80%

0.00%

SPY annualized return over the backtest window (backtest)

15.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.39

—

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

0.87

14.66

Maximum drawdown, backtest period (backtest)

-21.31%

—

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

-21.30%

-0.77%

Sharpe ratio, backtest period (backtest)

1.41

—

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

1.06

3.90

Sortino ratio, backtest period (backtest)

2.10

—

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

1.51

—

Standard deviation, backtest period (backtest)

19.79%

—

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

17.53%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

1.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

184

—

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