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QQQ Dip Buying with Cash on Overheated Markets 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)

daily rebalanced, qqq-focused, risk-on/risk-off, rsi mean reversion, tactical asset allocation, trend-following

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)

0.11

—

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

1.05

—

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

0.86

—

Trading activity

Annualized turnover, backtest period (backtest)

13.68

—

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

7.13

—

Daily win rate, backtest period (backtest)

47.39%

—

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

52.08%

—

Backtest

Backtest final value (from $10,000)

$1.7M

—

Backtest regulatory fees

$1,809

—

Backtest slippage cost

$17k

—

Returns

Backtest length

6,740

—

Out-of-sample length

530

—

Return, backtest period (annualized) (backtest)

21.16%

—

Return, backtest period (cumulative) (backtest)

17k%

—

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

33.17%

76.55%

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

82.86%

3.91%

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

0.49%

—

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

4.99%

0.00%

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

0.23%

—

Return, trailing 1 year (backtest)

29.17%

—

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

23.64%

0.00%

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

0.91%

—

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

3.98%

0.00%

SPY annualized return over the backtest window (backtest)

8.41%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.57

—

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

2.10

180.23

Maximum drawdown, backtest period (backtest)

-37.09%

—

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

-15.76%

-0.42%

Sharpe ratio, backtest period (backtest)

0.97

—

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

1.54

9.00

Sortino ratio, backtest period (backtest)

1.47

—

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

2.42

—

Standard deviation, backtest period (backtest)

22.36%

—

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

19.91%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.91

—

Construction

Logic complexity (node count)

—

Rebalance frequency

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