Side-by-side comparison

Compare investment strategies

SPY with T-Bill Exit on Overheated Sectors vs Macro-Filtered Short-Term Momentum with Mean Reversion

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 rebalance, equity-to-cash switch, risk management, rsi filter, tactical timing

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.00

—

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

0.94

—

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

0.97

—

Trading activity

Annualized turnover, backtest period (backtest)

18.75

—

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

19.93

—

Daily win rate, backtest period (backtest)

52.91%

—

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

54.34%

—

Backtest

Backtest final value (from $10,000)

$111k

—

Backtest regulatory fees

$279

—

Backtest slippage cost

$2,463

—

Returns

Backtest length

4,878

—

Out-of-sample length

392

—

Return, backtest period (annualized) (backtest)

13.21%

—

Return, backtest period (cumulative) (backtest)

1005%

—

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

22.34%

76.55%

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

36.29%

3.91%

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

0.03%

—

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

2.37%

0.00%

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

-0.80%

—

Return, trailing 1 year (backtest)

14.95%

—

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

15.97%

0.00%

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

-0.38%

—

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)

0.24

—

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

1.79

180.23

Maximum drawdown, backtest period (backtest)

-55.19%

—

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

-12.46%

-0.42%

Sharpe ratio, backtest period (backtest)

0.74

—

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

1.30

9.00

Sortino ratio, backtest period (backtest)

1.05

—

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

1.95

—

Standard deviation, backtest period (backtest)

19.31%

—

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

16.55%

6.75%

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