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Compare investment strategies

QQQ Hold with VXX Switch When Nasdaq Overheats vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

nasdaq-100 exposure, rsi signal, tactical allocation, volatility timing

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)

-0.01

—

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

1.25

—

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

0.94

—

Trading activity

Annualized turnover, backtest period (backtest)

4.47

—

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

3.73

—

Daily win rate, backtest period (backtest)

56.39%

—

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

56.30%

—

Backtest

Backtest final value (from $10,000)

$146k

—

Backtest regulatory fees

$57

—

Backtest slippage cost

$492

—

Returns

Backtest length

2,199

—

Out-of-sample length

540

—

Return, backtest period (annualized) (backtest)

35.93%

—

Return, backtest period (cumulative) (backtest)

1359%

—

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

23.45%

76.55%

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

56.41%

3.91%

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

-2.50%

—

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

4.99%

0.00%

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

-3.71%

—

Return, trailing 1 year (backtest)

15.35%

—

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

20.80%

0.00%

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

-5.00%

—

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

3.98%

0.00%

SPY annualized return over the backtest window (backtest)

13.99%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.02

—

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

1.03

180.23

Maximum drawdown, backtest period (backtest)

-35.12%

—

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

-22.77%

-0.42%

Sharpe ratio, backtest period (backtest)

1.25

—

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

1.08

9.00

Sortino ratio, backtest period (backtest)

2.07

—

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

1.44

—

Standard deviation, backtest period (backtest)

27.43%

—

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

21.62%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

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