Side-by-side comparison

Compare investment strategies

T-Bill vs SPY Switch to Utilities, Gold and Energy 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)

leveraged etfs, risk-on/risk-off, sector rotation, tactical asset allocation, trend-following

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)

-0.01

—

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

2.01

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

11.13

—

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

10.44

—

Daily win rate, backtest period (backtest)

56.25%

—

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

55.40%

—

Backtest

Backtest final value (from $10,000)

$1.2M

—

Backtest regulatory fees

$1,333

—

Backtest slippage cost

$8,096

—

Returns

Backtest length

4,190

—

Out-of-sample length

917

—

Return, backtest period (annualized) (backtest)

33.17%

—

Return, backtest period (cumulative) (backtest)

12k%

—

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

36.52%

76.55%

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

210.81%

3.91%

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

1.50%

—

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

7.34%

0.00%

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

1.77%

—

Return, trailing 1 year (backtest)

23.63%

—

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

23.62%

0.00%

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

2.23%

—

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

5.13%

0.00%

SPY annualized return over the backtest window (backtest)

14.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.59

—

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

1.12

180.23

Maximum drawdown, backtest period (backtest)

-56.45%

—

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

-32.60%

-0.42%

Sharpe ratio, backtest period (backtest)

0.94

—

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

0.99

9.00

Sortino ratio, backtest period (backtest)

1.31

—

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

1.41

—

Standard deviation, backtest period (backtest)

38.23%

—

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

39.15%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.47

—

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