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Compare investment strategies

TEC/SOX/HIB 3x Dip-Buy and Rip-Fade Strategy 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)

bonds, commodities, leveraged etfs, mean reversion, risk management, semiconductors, tactical allocation, tech, trend following, volatility 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)

0.48

—

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

0.63

—

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

0.13

—

Trading activity

Annualized turnover, backtest period (backtest)

116.25

—

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

107.25

—

Daily win rate, backtest period (backtest)

57.91%

—

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

51.07%

—

Backtest

Backtest final value (from $10,000)

$4.3B

—

Backtest regulatory fees

$24.7M

—

Backtest slippage cost

$238.0M

—

Returns

Backtest length

1,725

—

Out-of-sample length

748

—

Return, backtest period (annualized) (backtest)

563.81%

—

Return, backtest period (cumulative) (backtest)

42694k%

—

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

44.68%

76.55%

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

199.78%

3.91%

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

-2.11%

—

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

1.37%

0.00%

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

7.52%

—

Return, trailing 1 year (backtest)

-12.10%

—

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

-12.14%

0.00%

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

7.33%

—

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

76.91%

0.00%

SPY annualized return over the backtest window (backtest)

15.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.89

—

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

0.63

180.23

Maximum drawdown, backtest period (backtest)

-71.44%

—

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

-71.45%

-0.42%

Sharpe ratio, backtest period (backtest)

3.04

—

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

0.85

9.00

Sortino ratio, backtest period (backtest)

5.95

—

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

1.50

—

Standard deviation, backtest period (backtest)

70.23%

—

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

73.11%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.49

—

Construction

Logic complexity (node count)

1,643

—

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