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Compare investment strategies

TECL or T-Bills Gated by Managed Futures Momentum vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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)

daily rebalance, leveraged etfs, momentum, regime switching, risk management, tactical allocation, tech sector, trend following

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.27

—

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

3.09

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

24.50

—

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

29.09

—

Daily win rate, backtest period (backtest)

56.76%

—

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

62.01%

—

Backtest

Backtest final value (from $10,000)

$1.1M

—

Backtest regulatory fees

$932

—

Backtest slippage cost

$8,195

—

Returns

Backtest length

1,450

—

Out-of-sample length

537

—

Return, backtest period (annualized) (backtest)

127.60%

—

Return, backtest period (cumulative) (backtest)

11k%

—

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

82.96%

261.52%

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

263.16%

6.85%

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

0.02%

—

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

4.06%

1.95%

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

-3.08%

—

Return, trailing 1 year (backtest)

87.62%

—

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

87.62%

0.00%

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

1.80%

—

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

12.07%

6.14%

SPY annualized return over the backtest window (backtest)

15.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.47

—

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

1.60

376.45

Maximum drawdown, backtest period (backtest)

-51.72%

—

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

-51.72%

-0.69%

Sharpe ratio, backtest period (backtest)

1.75

—

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

1.24

7.79

Sortino ratio, backtest period (backtest)

2.80

—

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

1.85

—

Standard deviation, backtest period (backtest)

55.79%

—

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

66.16%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

—

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