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Recession Plays: Trend Stocks, Bond Ballast, Defensives vs 100% SGOV Treasury Bill Cash Holder

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, leveraged etfs, momentum, recession, short-term bonds, tactical asset allocation, trend following, us equities, us treasuries

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

-0.00

—

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

1.10

—

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

0.82

—

Trading activity

Annualized turnover, backtest period (backtest)

17.68

—

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

15.76

—

Daily win rate, backtest period (backtest)

55.80%

—

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

54.82%

—

Backtest

Backtest final value (from $10,000)

$731k

—

Backtest regulatory fees

$1,273

—

Backtest slippage cost

$10k

—

Returns

Backtest length

4,907

—

Out-of-sample length

954

—

Return, backtest period (annualized) (backtest)

24.65%

—

Return, backtest period (cumulative) (backtest)

7209%

—

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

23.93%

3.61%

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

125.47%

0.76%

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

0.65%

—

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

2.01%

0.32%

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

0.78%

—

Return, trailing 1 year (backtest)

20.18%

—

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

20.18%

0.00%

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

0.53%

—

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

2.19%

0.00%

SPY annualized return over the backtest window (backtest)

11.04%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.83

—

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

1.24

45148.96

Maximum drawdown, backtest period (backtest)

-29.74%

—

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

-19.24%

-0.00%

Sharpe ratio, backtest period (backtest)

1.15

—

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

1.17

20.28

Sortino ratio, backtest period (backtest)

2.03

—

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

2.11

—

Standard deviation, backtest period (backtest)

21.11%

—

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

20.06%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

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