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Compare investment strategies

Risk-On/Off Single 3x Tech ETF with Bond Signals 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)

leveraged etfs, macro regime filters, mean reversion, momentum, tactical asset allocation, volatility hedging

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)

0.06

—

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

1.66

—

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

0.40

—

Trading activity

Annualized turnover, backtest period (backtest)

91.53

—

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

83.72

—

Daily win rate, backtest period (backtest)

57.38%

—

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

52.20%

—

Backtest

Backtest final value (from $10,000)

$70.1B

—

Backtest regulatory fees

$382.9M

—

Backtest slippage cost

$3.7B

—

Returns

Backtest length

2,372

—

Out-of-sample length

954

—

Return, backtest period (annualized) (backtest)

433.32%

—

Return, backtest period (cumulative) (backtest)

701140k%

—

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

26.04%

76.55%

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

140.39%

3.91%

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

-0.60%

—

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

-0.35%

0.00%

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

8.60%

—

Return, trailing 1 year (backtest)

-15.09%

—

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

-15.12%

0.00%

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

4.21%

—

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

57.42%

0.00%

SPY annualized return over the backtest window (backtest)

15.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.13

—

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

0.43

180.23

Maximum drawdown, backtest period (backtest)

-60.73%

—

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

-60.74%

-0.42%

Sharpe ratio, backtest period (backtest)

2.83

—

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

0.67

9.00

Sortino ratio, backtest period (backtest)

5.44

—

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

1.10

—

Standard deviation, backtest period (backtest)

66.77%

—

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

62.14%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.52

—

Construction

Logic complexity (node count)

4,288

—

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