Side-by-side comparison

Compare investment strategies

SPY/TLT 200-Day Switch with Short-Term MA Tweaks 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)

daily rebalance, moving-average timing, risk-on/risk-off, spy vs tlt, tactical allocation, trend following

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)

0.02

—

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

0.85

—

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

0.91

—

Trading activity

Annualized turnover, backtest period (backtest)

42.37

—

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

30.84

—

Daily win rate, backtest period (backtest)

55.02%

—

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

53.16%

—

Backtest

Backtest final value (from $10,000)

$397k

—

Backtest regulatory fees

$1,858

—

Backtest slippage cost

$17k

—

Returns

Backtest length

6,096

—

Out-of-sample length

474

—

Return, backtest period (annualized) (backtest)

16.44%

—

Return, backtest period (cumulative) (backtest)

3874%

—

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

16.63%

3.62%

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

33.15%

2.81%

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

-1.11%

—

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

2.02%

0.34%

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

-1.49%

—

Return, trailing 1 year (backtest)

8.59%

—

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

11.09%

6.30%

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

-1.08%

—

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

3.06%

0.95%

SPY annualized return over the backtest window (backtest)

11.50%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.67

—

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

1.39

331.36

Maximum drawdown, backtest period (backtest)

-24.65%

—

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

-11.95%

-0.01%

Sharpe ratio, backtest period (backtest)

0.97

—

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

1.06

18.06

Sortino ratio, backtest period (backtest)

1.44

—

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

1.55

—

Standard deviation, backtest period (backtest)

17.18%

—

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

15.68%

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