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SPY with 12% Drawdown Exit to Short Treasuries vs Better Than a CD: Tech Trend with T-Bill Defense

Every published figureShow 42 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 check, drawdown trigger, risk-on/risk-off, s&p 500 equity, short-term treasuries, tactical allocation

bonds/gold, inverse/short, leveraged etfs, mean reversion, sector rotation, tactical asset allocation, trend-following, volatility hedged

Asset classes / instruments

equities

Market-relative

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

0.03

—

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

0.85

—

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

0.92

—

Trading activity

Annualized turnover, backtest period (backtest)

1.03

—

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

0.50

—

Daily win rate, backtest period (backtest)

55.12%

—

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

55.16%

—

Backtest

Backtest final value (from $10,000)

$127k

—

Backtest regulatory fees

$13

—

Backtest slippage cost

$115

—

Returns

Backtest length

6,090

—

Out-of-sample length

1,008

—

Return, backtest period (annualized) (backtest)

11.09%

—

Return, backtest period (cumulative) (backtest)

1170%

—

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

21.75%

4.85%

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

119.87%

4.53%

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

0.60%

—

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

2.37%

0.38%

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

1.16%

—

Return, trailing 1 year (backtest)

17.26%

—

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

17.26%

6.30%

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

0.94%

—

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

3.83%

1.75%

SPY annualized return over the backtest window (backtest)

11.58%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.20

—

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

1.24

9.16

Maximum drawdown, backtest period (backtest)

-54.51%

—

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

-17.58%

-0.53%

Sharpe ratio, backtest period (backtest)

0.73

—

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

1.44

3.47

Sortino ratio, backtest period (backtest)

1.01

—

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

2.11

—

Standard deviation, backtest period (backtest)

16.32%

—

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

14.44%

1.37%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

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