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Compare investment strategies

T-Bills with 3x Bounces and Gold/Dollar Hedge vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

commodities, gold, hedged, inverse etfs, leveraged etfs, mean reversion, rates regime, tactical bearish, trend filter, us dollar

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)

0.09

—

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

0.62

—

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

0.31

—

Trading activity

Annualized turnover, backtest period (backtest)

20.33

—

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

16.69

—

Daily win rate, backtest period (backtest)

46.55%

—

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

78.11%

—

Backtest

Backtest final value (from $10,000)

$3.0M

—

Backtest regulatory fees

$4,598

—

Backtest slippage cost

$34k

—

Returns

Backtest length

4,170

—

Out-of-sample length

1,005

—

Return, backtest period (annualized) (backtest)

41.03%

—

Return, backtest period (cumulative) (backtest)

30k%

—

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

18.65%

76.55%

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

97.88%

3.91%

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

0.04%

—

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

0.34%

0.00%

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

0.09%

—

Return, trailing 1 year (backtest)

24.69%

—

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

24.69%

0.00%

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

0.17%

—

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

0.95%

0.00%

SPY annualized return over the backtest window (backtest)

14.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.72

—

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

0.46

180.23

Maximum drawdown, backtest period (backtest)

-56.61%

—

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

-40.24%

-0.42%

Sharpe ratio, backtest period (backtest)

1.13

—

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

0.70

9.00

Sortino ratio, backtest period (backtest)

1.85

—

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

1.23

—

Standard deviation, backtest period (backtest)

36.39%

—

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

31.21%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.98

—

Construction

Logic complexity (node count)

123

—

Rebalance corridor width

10.00%

—

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