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Secular Regime NTSX and Managed Futures with Gold vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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, gold, managed futures, regime-based, risk management, shorting, tactical asset allocation, tech tilt, trend-following

bonds/cash, defensive sectors, leverage overlay, managed futures, risk-on/risk-off, tactical allocation, trend-following

Asset classes / instruments

equities

Market-relative

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

0.02

—

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

0.83

—

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

0.82

—

Trading activity

Annualized turnover, backtest period (backtest)

12.84

—

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

10.59

—

Daily win rate, backtest period (backtest)

55.28%

—

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

54.20%

—

Backtest

Backtest final value (from $10,000)

$41k

—

Backtest regulatory fees

$56

—

Backtest slippage cost

$417

—

Returns

Backtest length

1,856

—

Out-of-sample length

917

—

Return, backtest period (annualized) (backtest)

21.12%

—

Return, backtest period (cumulative) (backtest)

310.45%

—

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

18.69%

11.23%

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

86.69%

0.81%

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

0.54%

—

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

0.82%

0.00%

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

1.35%

—

Return, trailing 1 year (backtest)

9.51%

—

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

9.51%

0.00%

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

0.59%

—

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

0.82%

0.00%

SPY annualized return over the backtest window (backtest)

16.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.95

—

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

1.73

14.66

Maximum drawdown, backtest period (backtest)

-10.83%

—

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

-10.83%

-0.77%

Sharpe ratio, backtest period (backtest)

1.35

—

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

1.22

3.90

Sortino ratio, backtest period (backtest)

2.22

—

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

1.97

—

Standard deviation, backtest period (backtest)

15.02%

—

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

14.90%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.86

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

12.00%

—

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