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SCHD/SPY Moving Average Combo with Defensive Rotation vs Weekly Momentum Allocator: ETFs, Blue Chips and Growth

Every published figureShow 28 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, gold, leveraged etfs, risk-on/risk-off, sectors, tactical allocation, trend-following, u.s. equities

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)

0.05

—

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

0.67

—

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

0.70

—

Trading activity

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

15.57

—

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

53.73%

—

Risk metrics

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

1.41

64.30

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

-12.71%

-1.60%

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

1.22

6.66

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

2.03

—

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

14.27%

11.42%

Quality

Community review status

ACTIVE

—

Holdings

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

0.26

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

—

Rebalance frequency

none

weekly

Returns

Out-of-sample length

804

—

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

17.88%

103.09%

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

69.15%

4.90%

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

-0.06%

—

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

0.78%

-4.41%

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

1.00%

—

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

14.65%

0.00%

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

1.14%

—

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

1.95%

0.00%

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