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S&P Trend: Momentum Stocks or Managed Futures/Gold vs Beta Breaker BTAL Risk-Off with Top-4 Momentum

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)

commodities, etf portfolio, gold, low-volatility equities, managed futures, momentum, risk-on/risk-off, tactical allocation, trend-following

btal signal, daily rebalance, leveraged & inverse etfs, momentum + mean reversion, multi-asset, regime switching, risk-on/risk-off

Asset classes / instruments

equities

Market-relative

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

0.09

—

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

0.53

—

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

0.62

—

Trading activity

Annualized turnover, backtest period (backtest)

1.21

—

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

1.37

—

Daily win rate, backtest period (backtest)

58.13%

—

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

60.52%

—

Backtest

Backtest final value (from $10,000)

$21k

—

Backtest regulatory fees

$37

—

Backtest slippage cost

$32

—

Returns

Backtest length

1,168

—

Out-of-sample length

385

—

Return, backtest period (annualized) (backtest)

17.35%

—

Return, backtest period (cumulative) (backtest)

110.05%

—

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

30.00%

59.79%

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

48.54%

10.36%

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

-1.12%

—

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

0.84%

3.10%

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

-2.79%

—

Return, trailing 1 year (backtest)

16.99%

—

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

22.08%

0.00%

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

-3.68%

—

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

3.20%

0.00%

SPY annualized return over the backtest window (backtest)

14.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.63

—

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

4.16

23.98

Maximum drawdown, backtest period (backtest)

-10.64%

—

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

-7.21%

-2.49%

Sharpe ratio, backtest period (backtest)

1.48

—

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

2.02

3.46

Sortino ratio, backtest period (backtest)

2.15

—

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

2.72

—

Standard deviation, backtest period (backtest)

11.22%

—

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

13.50%

14.10%

Quality

Community review status

ACTIVE

—

Holdings

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

0.29

—

Construction

Logic complexity (node count)

—

Rebalance frequency

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