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SPY 100-Day Trend Switch for Calm or Fast Stocks 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)

large-cap growth, risk-on/risk-off, stock selection, tactical, trend-following, us equities, volatility targeting

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)

1.23

—

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

0.59

—

Trading activity

Annualized turnover, backtest period (backtest)

28.68

—

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

25.93

—

Daily win rate, backtest period (backtest)

53.88%

—

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

51.39%

—

Backtest

Backtest final value (from $10,000)

$164k

—

Backtest regulatory fees

$433

—

Backtest slippage cost

$3,587

—

Returns

Backtest length

2,433

—

Out-of-sample length

722

—

Return, backtest period (annualized) (backtest)

33.59%

—

Return, backtest period (cumulative) (backtest)

1539%

—

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

18.19%

3.62%

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

60.90%

2.81%

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

-2.16%

—

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

8.46%

0.34%

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

-1.43%

—

Return, trailing 1 year (backtest)

5.52%

—

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

8.54%

6.30%

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

-2.29%

—

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

7.57%

0.95%

SPY annualized return over the backtest window (backtest)

14.93%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.94

—

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

0.51

331.36

Maximum drawdown, backtest period (backtest)

-35.60%

—

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

-35.60%

-0.01%

Sharpe ratio, backtest period (backtest)

1.05

—

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

0.68

18.06

Sortino ratio, backtest period (backtest)

1.53

—

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

0.93

—

Standard deviation, backtest period (backtest)

32.72%

—

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

32.14%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

Rebalance frequency

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