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Quarterly 77-Stock RSI Rotation with BTAL Overheat vs Macro-Filtered Short-Term Momentum with Mean Reversion

Every published figureShow 42 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 hedge (btal), mean reversion, quarterly, rsi/relative strength, tactical rotation, us large-cap

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)

0.10

—

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

0.45

—

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

0.37

—

Trading activity

Annualized turnover, backtest period (backtest)

3.89

—

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

4.53

—

Daily win rate, backtest period (backtest)

54.68%

—

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

51.26%

—

Backtest

Backtest final value (from $10,000)

$131k

—

Backtest regulatory fees

$40

—

Backtest slippage cost

$322

—

Returns

Backtest length

2,639

—

Out-of-sample length

593

—

Return, backtest period (annualized) (backtest)

27.85%

—

Return, backtest period (cumulative) (backtest)

1212%

—

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

15.10%

76.55%

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

38.83%

3.91%

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

-0.21%

—

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

0.34%

0.00%

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

3.47%

—

Return, trailing 1 year (backtest)

29.56%

—

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

24.91%

0.00%

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

6.11%

—

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

8.33%

0.00%

SPY annualized return over the backtest window (backtest)

14.98%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.31

—

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

0.81

180.23

Maximum drawdown, backtest period (backtest)

-21.22%

—

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

-18.65%

-0.42%

Sharpe ratio, backtest period (backtest)

1.51

—

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

0.81

9.00

Sortino ratio, backtest period (backtest)

2.29

—

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

1.33

—

Standard deviation, backtest period (backtest)

17.28%

—

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

19.86%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.27

—

Construction

Logic complexity (node count)

166

—

Rebalance frequency

quarterly

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