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Safety First Calm-Trend 3x Tech with T-Bill Retreat vs Bond and Defensive Signals Gate for TQQQ

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)

bonds vs stocks, leveraged etfs, risk management, tactical allocation, trend-following, volatility hedging

bond signals, daily rebalance, defensive factor, leveraged etf, nasdaq-100, risk-on/off, tactical momentum, trend following

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)

1.90

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

33.02

—

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

33.66

—

Daily win rate, backtest period (backtest)

56.91%

—

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

56.83%

—

Backtest

Backtest final value (from $10,000)

$174.9M

—

Backtest regulatory fees

$323k

—

Backtest slippage cost

$3.1M

—

Returns

Backtest length

3,771

—

Out-of-sample length

600

—

Return, backtest period (annualized) (backtest)

92.07%

—

Return, backtest period (cumulative) (backtest)

1749k%

—

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

22.77%

207.42%

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

62.30%

17.40%

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

-4.07%

—

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

5.71%

17.20%

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

-6.30%

—

Return, trailing 1 year (backtest)

5.51%

—

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

17.10%

0.00%

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

-8.09%

—

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

9.23%

0.00%

SPY annualized return over the backtest window (backtest)

15.02%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.56

—

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

0.63

43.28

Maximum drawdown, backtest period (backtest)

-36.01%

—

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

-36.02%

-4.79%

Sharpe ratio, backtest period (backtest)

1.97

—

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

0.71

3.80

Sortino ratio, backtest period (backtest)

3.37

—

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

0.88

—

Standard deviation, backtest period (backtest)

36.39%

—

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

40.38%

31.69%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

443

—

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