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Shipping-Signaled 2x S&P, Tech Dips and EM Short vs Rising Rates Volatility Switch Risk-Parity Mix

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)

emerging markets short, gold, leveraged etfs, momentum (rsi), risk-on/risk-off, shipping signal, tactical allocation, volatility hedge

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

-0.04

—

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

1.94

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

46.32

—

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

28.80

—

Daily win rate, backtest period (backtest)

55.58%

—

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

50.00%

—

Backtest

Backtest final value (from $10,000)

$8.8M

—

Backtest regulatory fees

$16k

—

Backtest slippage cost

$133k

—

Returns

Backtest length

2,089

—

Out-of-sample length

350

—

Return, backtest period (annualized) (backtest)

126.34%

—

Return, backtest period (cumulative) (backtest)

87k%

—

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

30.48%

3.62%

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

43.95%

2.81%

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

-0.18%

—

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

4.17%

0.34%

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

8.27%

—

Return, trailing 1 year (backtest)

36.96%

—

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

26.35%

6.30%

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

9.01%

—

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

19.20%

0.95%

SPY annualized return over the backtest window (backtest)

15.04%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.12

—

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

1.50

331.36

Maximum drawdown, backtest period (backtest)

-24.67%

—

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

-20.26%

-0.01%

Sharpe ratio, backtest period (backtest)

2.23

—

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

1.00

18.06

Sortino ratio, backtest period (backtest)

4.70

—

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

2.08

—

Standard deviation, backtest period (backtest)

40.10%

—

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

31.45%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

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