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SPY Trend with Gold, Dollar and Volatility Hedges 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)

gold, leveraged etfs, risk-on/risk-off, tactical allocation, trend-following, u.s. dollar, 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)

0.29

—

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

0.20

—

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

0.14

—

Trading activity

Annualized turnover, backtest period (backtest)

31.21

—

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

29.53

—

Daily win rate, backtest period (backtest)

55.51%

—

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

54.92%

—

Backtest

Backtest final value (from $10,000)

$4.4M

—

Backtest regulatory fees

$8,194

—

Backtest slippage cost

$72k

—

Returns

Backtest length

3,765

—

Out-of-sample length

1,016

—

Return, backtest period (annualized) (backtest)

50.33%

—

Return, backtest period (cumulative) (backtest)

44k%

—

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

36.48%

3.62%

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

250.88%

2.81%

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

0.35%

—

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

0.79%

0.34%

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

0.55%

—

Return, trailing 1 year (backtest)

10.46%

—

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

10.46%

6.30%

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

0.74%

—

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

-0.49%

0.95%

SPY annualized return over the backtest window (backtest)

15.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.79

—

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

2.96

331.36

Maximum drawdown, backtest period (backtest)

-28.06%

—

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

-12.33%

-0.01%

Sharpe ratio, backtest period (backtest)

1.37

—

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

1.46

18.06

Sortino ratio, backtest period (backtest)

3.66

—

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

3.87

—

Standard deviation, backtest period (backtest)

33.39%

—

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

22.91%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.81

—

Construction

Logic complexity (node count)

306

—

Rebalance corridor width

10.00%

5.00%

Rebalance frequency

none

Popularity

Remixes (copies)

380

—

Watchers

144

—

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