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Quarterly Trend, Sector Bounce and Diversifier Sleeves 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)

diversifiers, leveraged etfs, mean reversion, multi-asset, risk management, sector rotation, tactical asset allocation, trend following

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)

0.03

—

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

0.97

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

4.55

—

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

4.60

—

Daily win rate, backtest period (backtest)

57.52%

—

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

55.47%

—

Backtest

Backtest final value (from $10,000)

$362k

—

Backtest regulatory fees

$106

—

Backtest slippage cost

$855

—

Returns

Backtest length

2,519

—

Out-of-sample length

530

—

Return, backtest period (annualized) (backtest)

43.19%

—

Return, backtest period (cumulative) (backtest)

3524%

—

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

22.07%

3.62%

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

51.50%

2.81%

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

-0.43%

—

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

-1.48%

0.34%

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

-0.07%

—

Return, trailing 1 year (backtest)

-5.09%

—

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

-4.59%

6.30%

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

1.36%

—

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

-1.21%

0.95%

SPY annualized return over the backtest window (backtest)

15.30%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.40

—

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

1.33

331.36

Maximum drawdown, backtest period (backtest)

-18.02%

—

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

-16.55%

-0.01%

Sharpe ratio, backtest period (backtest)

1.81

—

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

1.07

18.06

Sortino ratio, backtest period (backtest)

2.77

—

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

1.58

—

Standard deviation, backtest period (backtest)

21.05%

—

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

20.77%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.10

—

Construction

Logic complexity (node count)

565

—

Rebalance corridor width

—

5.00%

Rebalance frequency

quarterly

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