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Compare investment strategies

QQQ with Gold or TLT Rotation in Extreme Volatility 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)

defensive switch, gld, mean reversion, qqq, tactical etf rotation, tlt, volatility trigger

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)

1.24

—

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

0.93

—

Trading activity

Annualized turnover, backtest period (backtest)

2.34

—

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

1.24

—

Daily win rate, backtest period (backtest)

55.49%

—

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

57.27%

—

Backtest

Backtest final value (from $10,000)

$338k

—

Backtest regulatory fees

$57

—

Backtest slippage cost

$505

—

Returns

Backtest length

5,496

—

Out-of-sample length

812

—

Return, backtest period (annualized) (backtest)

17.52%

—

Return, backtest period (cumulative) (backtest)

3283%

—

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

26.46%

76.55%

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

113.26%

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)

23.60%

—

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

23.60%

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)

11.00%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.42

—

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

1.23

180.23

Maximum drawdown, backtest period (backtest)

-41.96%

—

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

-21.54%

-0.42%

Sharpe ratio, backtest period (backtest)

0.89

—

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

1.28

9.00

Sortino ratio, backtest period (backtest)

1.28

—

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

1.90

—

Standard deviation, backtest period (backtest)

20.60%

—

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

19.96%

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

5.00%

—

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