Side-by-side comparison

Compare investment strategies

SPY vs Short Treasuries on Junk Bond Signal 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)

etf rotation, momentum (rsi), risk-on/risk-off, stocks vs bonds, tactical allocation

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)

0.07

—

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

0.53

—

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

0.73

—

Trading activity

Annualized turnover, backtest period (backtest)

12.39

—

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

19.88

—

Daily win rate, backtest period (backtest)

54.38%

—

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

58.01%

—

Backtest

Backtest final value (from $10,000)

$67k

—

Backtest regulatory fees

$134

—

Backtest slippage cost

$1,189

—

Returns

Backtest length

3,233

—

Out-of-sample length

824

—

Return, backtest period (annualized) (backtest)

15.98%

—

Return, backtest period (cumulative) (backtest)

570.07%

—

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

18.45%

3.62%

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

74.09%

2.81%

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

0.05%

—

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

-0.22%

0.34%

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

0.19%

—

Return, trailing 1 year (backtest)

5.23%

—

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

5.23%

6.30%

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

0.29%

—

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

-4.27%

0.95%

SPY annualized return over the backtest window (backtest)

13.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.69

—

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

1.45

331.36

Maximum drawdown, backtest period (backtest)

-23.19%

—

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

-12.75%

-0.01%

Sharpe ratio, backtest period (backtest)

1.29

—

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

1.62

18.06

Sortino ratio, backtest period (backtest)

1.84

—

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

2.31

—

Standard deviation, backtest period (backtest)

12.07%

—

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

10.86%

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

1.00%

5.00%

Rebalance frequency

none

Popularity

Remixes (copies)

134

—

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