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Three-Stock RSI Rotation with T-Bill Volatility Filter 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)

cash buffer, daily rebalance, momentum, risk-on/risk-off, single-stock rotation, volatility filter

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)

0.08

—

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

1.18

—

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

0.47

—

Trading activity

Annualized turnover, backtest period (backtest)

30.65

—

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

35.94

—

Daily win rate, backtest period (backtest)

54.15%

—

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

50.86%

—

Backtest

Backtest final value (from $10,000)

$28.7M

—

Backtest regulatory fees

$55k

—

Backtest slippage cost

$514k

—

Returns

Backtest length

3,930

—

Out-of-sample length

582

—

Return, backtest period (annualized) (backtest)

66.62%

—

Return, backtest period (cumulative) (backtest)

287k%

—

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

22.01%

76.55%

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

57.70%

3.91%

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

0.41%

—

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

2.62%

0.00%

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

3.05%

—

Return, trailing 1 year (backtest)

37.87%

—

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

19.25%

0.00%

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

-2.38%

—

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

-6.35%

0.00%

SPY annualized return over the backtest window (backtest)

13.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.38

—

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

0.79

180.23

Maximum drawdown, backtest period (backtest)

-27.97%

—

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

-27.97%

-0.42%

Sharpe ratio, backtest period (backtest)

1.63

—

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

0.69

9.00

Sortino ratio, backtest period (backtest)

2.71

—

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

1.04

—

Standard deviation, backtest period (backtest)

35.16%

—

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

40.59%

6.75%

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