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SCHD/SCHG and Managed Futures Core with Tactical Half vs Weekly Momentum Allocator: ETFs, Blue Chips and Growth

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)

dividend core, leveraged etfs, managed futures, multi-asset, tactical allocation, trend following, volatility hedging

ballast (cash/dividends/gold/tips/energy), blue chips, growth/ai tilt, multi-asset rotation, recent-winner selection, weekly rebalance

Asset classes / instruments

equities

Market-relative

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

0.04

—

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

0.82

—

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

0.70

—

Trading activity

Annualized turnover, backtest period (backtest)

33.25

—

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

30.51

—

Daily win rate, backtest period (backtest)

55.15%

—

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

53.61%

—

Backtest

Backtest final value (from $10,000)

$43k

—

Backtest regulatory fees

$136

—

Backtest slippage cost

$895

—

Returns

Backtest length

1,077

—

Out-of-sample length

957

—

Return, backtest period (annualized) (backtest)

40.79%

—

Return, backtest period (cumulative) (backtest)

332.02%

—

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

20.93%

103.09%

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

105.98%

4.90%

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

-0.25%

—

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

1.97%

-4.41%

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

1.59%

—

Return, trailing 1 year (backtest)

6.52%

—

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

6.54%

0.00%

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

1.39%

—

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

9.04%

0.00%

SPY annualized return over the backtest window (backtest)

19.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.19

—

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

1.13

64.30

Maximum drawdown, backtest period (backtest)

-18.58%

—

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

-18.58%

-1.60%

Sharpe ratio, backtest period (backtest)

1.99

—

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

1.17

6.66

Sortino ratio, backtest period (backtest)

3.60

—

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

1.97

—

Standard deviation, backtest period (backtest)

17.98%

—

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

17.63%

11.42%

Quality

Community review status

ACTIVE

—

Holdings

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

0.11

—

Construction

Logic complexity (node count)

5,195

—

Rebalance frequency

daily

weekly

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