Side-by-side comparison

Compare investment strategies

Quality Stock Dips and Bond-Signal Entries, T-Bills 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)

bond-signal overlay, cash/treasury parking, large-cap growth, mean-reversion dips, risk-managed, rules-based, tactical equity, tech-heavy, trend + regime filter, volatility hedge

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)

0.04

—

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

0.65

—

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

0.60

—

Trading activity

Annualized turnover, backtest period (backtest)

54.15

—

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

54.32

—

Daily win rate, backtest period (backtest)

55.18%

—

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

54.65%

—

Backtest

Backtest final value (from $10,000)

$836k

—

Backtest regulatory fees

$3,779

—

Backtest slippage cost

$33k

—

Returns

Backtest length

3,041

—

Out-of-sample length

591

—

Return, backtest period (annualized) (backtest)

44.29%

—

Return, backtest period (cumulative) (backtest)

8259%

—

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

15.61%

76.55%

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

40.13%

3.91%

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

-1.37%

—

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

-1.25%

0.00%

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

0.00%

—

Return, trailing 1 year (backtest)

2.14%

—

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

3.10%

0.00%

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

1.98%

—

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

1.46%

0.00%

SPY annualized return over the backtest window (backtest)

13.72%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.14

—

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

1.29

180.23

Maximum drawdown, backtest period (backtest)

-14.13%

—

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

-12.10%

-0.42%

Sharpe ratio, backtest period (backtest)

1.90

—

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

0.92

9.00

Sortino ratio, backtest period (backtest)

3.47

—

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

1.46

—

Standard deviation, backtest period (backtest)

20.44%

—

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

17.54%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.35

—

Construction

Logic complexity (node count)

1,260

—

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