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Compare investment strategies

Semiconductor SMH with SOXS or SHY Defense vs 100% SGOV Treasury Bill Cash Holder

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)

inverse etf, momentum, risk-on/risk-off, rules-based, sector rotation, semiconductors, tactical allocation, trend-following

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.29

—

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

0.21

—

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

0.07

—

Trading activity

Annualized turnover, backtest period (backtest)

10.37

—

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

7.92

—

Daily win rate, backtest period (backtest)

54.71%

—

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

55.01%

—

Backtest

Backtest final value (from $10,000)

$107k

—

Backtest regulatory fees

$114

—

Backtest slippage cost

$972

—

Returns

Backtest length

3,522

—

Out-of-sample length

1,018

—

Return, backtest period (annualized) (backtest)

18.46%

—

Return, backtest period (cumulative) (backtest)

967.50%

—

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

20.45%

3.61%

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

112.18%

0.76%

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

-0.65%

—

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

5.06%

0.32%

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

-4.32%

—

Return, trailing 1 year (backtest)

75.32%

—

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

75.32%

0.00%

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

-0.53%

—

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

-0.72%

0.00%

SPY annualized return over the backtest window (backtest)

14.66%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.31

—

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

0.35

45148.96

Maximum drawdown, backtest period (backtest)

-59.26%

—

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

-59.26%

-0.00%

Sharpe ratio, backtest period (backtest)

0.63

—

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

0.67

20.28

Sortino ratio, backtest period (backtest)

0.85

—

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

0.85

—

Standard deviation, backtest period (backtest)

43.09%

—

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

49.80%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

8.00%

—

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