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Compare investment strategies

Tech and Treasury Rotation with Staples, Oil and Dollar vs Rising Rates Volatility Switch Risk-Parity Mix

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)

daily rebalance, leveraged etfs, mean‑reversion, momentum, multi‑asset, risk‑on/risk‑off, tactical allocation, trend‑following

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.26

—

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

1.58

—

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

0.64

—

Trading activity

Annualized turnover, backtest period (backtest)

44.94

—

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

44.78

—

Daily win rate, backtest period (backtest)

55.82%

—

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

55.57%

—

Backtest

Backtest final value (from $10,000)

$203.0M

—

Backtest regulatory fees

$366k

—

Backtest slippage cost

$3.5M

—

Returns

Backtest length

4,921

—

Out-of-sample length

709

—

Return, backtest period (annualized) (backtest)

66.16%

—

Return, backtest period (cumulative) (backtest)

2030k%

—

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

68.73%

3.62%

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

336.64%

2.81%

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

0.07%

—

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

0.27%

0.34%

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

2.02%

—

Return, trailing 1 year (backtest)

52.60%

—

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

52.57%

6.30%

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

1.55%

—

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

3.45%

0.95%

SPY annualized return over the backtest window (backtest)

11.15%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.51

—

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

2.77

331.36

Maximum drawdown, backtest period (backtest)

-43.86%

—

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

-24.83%

-0.01%

Sharpe ratio, backtest period (backtest)

1.44

—

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

1.57

18.06

Sortino ratio, backtest period (backtest)

2.30

—

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

2.51

—

Standard deviation, backtest period (backtest)

40.95%

—

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

37.80%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.87

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

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