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Tech Infrastructure Top-3 Momentum with QQQ Trend Filter vs ERX, Refiners and Gold Miners Inverse-Volatility 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)

concentrated, daily rebalancing, momentum, risk-on/off, semiconductors, tactical, tech infrastructure, trend-following

commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced

Asset classes / instruments

equities

Market-relative

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

0.34

—

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

1.56

—

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

0.34

—

Trading activity

Annualized turnover, backtest period (backtest)

21.84

—

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

27.11

—

Daily win rate, backtest period (backtest)

54.52%

—

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

56.38%

—

Backtest

Backtest final value (from $10,000)

$44k

—

Backtest regulatory fees

$80

—

Backtest slippage cost

$464

—

Returns

Backtest length

1,482

—

Out-of-sample length

188

—

Return, backtest period (annualized) (backtest)

28.72%

—

Return, backtest period (cumulative) (backtest)

341.87%

—

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

79.13%

138.64%

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

52.70%

3.87%

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

0.03%

—

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

3.75%

8.12%

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

-3.27%

—

Return, trailing 1 year (backtest)

86.34%

—

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

111.50%

0.00%

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

-11.29%

—

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

-10.37%

0.00%

SPY annualized return over the backtest window (backtest)

15.53%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.51

—

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

3.00

51.98

Maximum drawdown, backtest period (backtest)

-56.06%

—

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

-26.36%

-2.67%

Sharpe ratio, backtest period (backtest)

0.80

—

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

1.26

4.29

Sortino ratio, backtest period (backtest)

1.17

—

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

1.58

—

Standard deviation, backtest period (backtest)

43.18%

—

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

60.93%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.56

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

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