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QQQ Nasdaq-100 Passive Holding vs Macro-Filtered Short-Term Momentum with Mean Reversion

Every published figureShow 41 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

buy-and-hold, growth/tech tilt, nasdaq-100, passive index tracking, single-etf, us equities

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)

-0.02

—

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

1.27

—

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

0.95

—

Backtest

Backtest final value (from $10,000)

$164k

—

Backtest regulatory fees

—

Backtest slippage cost

—

Returns

Backtest length

6,945

—

Out-of-sample length

578

—

Return, backtest period (annualized) (backtest)

10.68%

—

Return, backtest period (cumulative) (backtest)

1541%

—

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

22.49%

76.55%

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

58.60%

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)

18.02%

—

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

23.60%

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)

8.55%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.13

—

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

0.99

180.23

Maximum drawdown, backtest period (backtest)

-82.96%

—

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

-22.77%

-0.42%

Sharpe ratio, backtest period (backtest)

0.51

—

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

1.04

9.00

Sortino ratio, backtest period (backtest)

0.74

—

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

1.38

—

Standard deviation, backtest period (backtest)

26.91%

—

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

21.81%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Trading activity

Daily win rate, backtest period (backtest)

54.38%

—

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

56.57%

—

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