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Six-Commodity Momentum vs Treasuries (IEF Fallback) vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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)

bonds, commodities, inflation-sensitive, momentum, tactical allocation, trend-following

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

0.21

—

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

0.31

—

Trading activity

Annualized turnover, backtest period (backtest)

5.49

—

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

5.64

—

Daily win rate, backtest period (backtest)

53.90%

—

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

54.65%

—

Backtest

Backtest final value (from $10,000)

$24k

—

Backtest regulatory fees

$30

—

Backtest slippage cost

$195

—

Returns

Backtest length

3,989

—

Out-of-sample length

1,173

—

Return, backtest period (annualized) (backtest)

5.64%

—

Return, backtest period (cumulative) (backtest)

138.24%

—

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

9.29%

261.52%

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

50.97%

6.85%

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

0.62%

—

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

-5.28%

1.95%

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

1.05%

—

Return, trailing 1 year (backtest)

13.76%

—

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

15.37%

0.00%

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

2.31%

—

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

-0.56%

6.14%

SPY annualized return over the backtest window (backtest)

14.27%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.17

—

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

0.59

376.45

Maximum drawdown, backtest period (backtest)

-33.03%

—

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

-15.64%

-0.69%

Sharpe ratio, backtest period (backtest)

0.60

—

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

0.82

7.79

Sortino ratio, backtest period (backtest)

0.84

—

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

1.23

—

Standard deviation, backtest period (backtest)

10.03%

—

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

11.60%

18.11%

Holdings

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

0.37

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

daily

Popularity

Remixes (copies)

311

—

Watchers

586

—

Risk score

Risk rating (Composer data field)

Moderate

—

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