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SPY Trend with Staples, Gold and T-Bill Defense vs 100% SGOV Treasury Bill Cash Holder

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)

defensive rotation, momentum, risk management, tactical asset allocation, trend-following

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.06

—

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

0.86

—

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

0.87

—

Trading activity

Annualized turnover, backtest period (backtest)

10.77

—

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

6.05

—

Daily win rate, backtest period (backtest)

55.47%

—

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

55.43%

—

Backtest

Backtest final value (from $10,000)

$215k

—

Backtest regulatory fees

$231

—

Backtest slippage cost

$1,913

—

Returns

Backtest length

4,878

—

Out-of-sample length

552

—

Return, backtest period (annualized) (backtest)

17.18%

—

Return, backtest period (cumulative) (backtest)

2055%

—

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

25.35%

3.61%

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

63.31%

0.76%

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

-1.11%

—

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

2.37%

0.32%

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

-1.49%

—

Return, trailing 1 year (backtest)

14.31%

—

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

16.13%

0.00%

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

-1.08%

—

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

3.83%

0.00%

SPY annualized return over the backtest window (backtest)

10.68%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.85

—

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

2.24

45148.96

Maximum drawdown, backtest period (backtest)

-20.23%

—

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

-11.32%

-0.00%

Sharpe ratio, backtest period (backtest)

1.13

—

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

1.48

20.28

Sortino ratio, backtest period (backtest)

1.77

—

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

2.39

—

Standard deviation, backtest period (backtest)

14.96%

—

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

16.16%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

0.95

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

—

Rebalance frequency

none

daily

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