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Semis vs Managed Futures RSI Gate for Small TECL Bet vs D-Fence Trend Switch: SPY or T-Bills with Hedges

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)

cash/t-bills, leveraged tech, managed futures filter, risk-on/risk-off, semiconductors signal, tactical momentum

bonds, defensive, inverse-hedge, managed futures, risk-on/off, t-bills, tactical, trend-following

Asset classes / instruments

equities

Market-relative

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

0.20

—

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

1.94

—

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

0.55

—

Trading activity

Annualized turnover, backtest period (backtest)

30.23

—

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

36.81

—

Daily win rate, backtest period (backtest)

56.41%

—

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

61.61%

—

Backtest

Backtest final value (from $10,000)

$749k

—

Backtest regulatory fees

$884

—

Backtest slippage cost

$7,725

—

Returns

Backtest length

1,459

—

Out-of-sample length

534

—

Return, backtest period (annualized) (backtest)

110.62%

—

Return, backtest period (cumulative) (backtest)

7387%

—

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

47.31%

40.01%

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

127.60%

2.98%

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

0.04%

—

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

7.62%

2.98%

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

2.53%

—

Return, trailing 1 year (backtest)

28.01%

—

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

28.01%

0.00%

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

7.70%

—

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

30.53%

2.82%

SPY annualized return over the backtest window (backtest)

15.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.42

—

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

1.03

28.47

Maximum drawdown, backtest period (backtest)

-45.73%

—

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

-45.73%

-1.41%

Sharpe ratio, backtest period (backtest)

1.73

—

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

0.97

3.57

Sortino ratio, backtest period (backtest)

2.72

—

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

1.36

—

Standard deviation, backtest period (backtest)

50.43%

—

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

56.86%

10.03%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

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