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Seven-Sleeve 12-Month Trend Allocation (Balanced) vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

commodities, defensive, global equities, real estate, tactical asset allocation, treasuries, 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)

0.06

—

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

0.54

—

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

0.87

—

Trading activity

Annualized turnover, backtest period (backtest)

1.63

—

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

1.33

—

Daily win rate, backtest period (backtest)

54.73%

—

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

58.52%

—

Backtest

Backtest final value (from $10,000)

$20k

—

Backtest regulatory fees

—

Backtest slippage cost

$35

—

Returns

Backtest length

3,031

—

Out-of-sample length

405

—

Return, backtest period (annualized) (backtest)

6.06%

—

Return, backtest period (cumulative) (backtest)

103.03%

—

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

19.46%

11.23%

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

32.62%

0.81%

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

-0.15%

—

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

-0.96%

0.00%

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

-0.63%

—

Return, trailing 1 year (backtest)

17.80%

—

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

19.63%

0.00%

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

-0.36%

—

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

2.25%

0.00%

SPY annualized return over the backtest window (backtest)

13.80%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.39

—

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

2.00

14.66

Maximum drawdown, backtest period (backtest)

-15.73%

—

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

-9.73%

-0.77%

Sharpe ratio, backtest period (backtest)

0.76

—

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

1.72

3.90

Sortino ratio, backtest period (backtest)

1.05

—

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

2.50

—

Standard deviation, backtest period (backtest)

8.19%

—

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

10.69%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.14

—

Construction

Logic complexity (node count)

191

—

Rebalance frequency

monthly

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