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Quality Blue-Chip Trend Basket with QQQ RSI Timing vs Rising Rates Volatility Switch Risk-Parity Mix

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)

cash/t-bills, leveraged etf overlay, nasdaq-driven, rsi signal, tactical timing, us mega-cap stocks

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.13

—

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

0.67

—

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

0.45

—

Trading activity

Annualized turnover, backtest period (backtest)

17.00

—

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

16.59

—

Daily win rate, backtest period (backtest)

54.97%

—

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

53.01%

—

Backtest

Backtest final value (from $10,000)

$227k

—

Backtest regulatory fees

$370

—

Backtest slippage cost

$2,536

—

Returns

Backtest length

2,625

—

Out-of-sample length

366

—

Return, backtest period (annualized) (backtest)

34.93%

—

Return, backtest period (cumulative) (backtest)

2169%

—

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

24.39%

3.62%

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

36.70%

2.81%

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

-0.24%

—

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

2.96%

0.34%

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

6.58%

—

Return, trailing 1 year (backtest)

43.83%

—

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

33.31%

6.30%

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

9.24%

—

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

18.67%

0.95%

SPY annualized return over the backtest window (backtest)

15.15%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.29

—

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

2.04

331.36

Maximum drawdown, backtest period (backtest)

-27.12%

—

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

-11.97%

-0.01%

Sharpe ratio, backtest period (backtest)

1.21

—

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

1.30

18.06

Sortino ratio, backtest period (backtest)

2.24

—

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

3.09

—

Standard deviation, backtest period (backtest)

27.83%

—

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

18.06%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.16

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

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