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TMF/TMV Selector: Less-Bruised 3x Treasury, Else SPY vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

leveraged bond etfs, long-term treasuries, rates trading, single-position rotation, tactical allocation, volatility filter, volatility hedge

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)

0.01

—

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

0.87

—

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

0.61

—

Trading activity

Annualized turnover, backtest period (backtest)

17.21

—

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

17.42

—

Daily win rate, backtest period (backtest)

55.42%

—

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

55.51%

—

Backtest

Backtest final value (from $10,000)

$753k

—

Backtest regulatory fees

$1,446

—

Backtest slippage cost

$12k

—

Returns

Backtest length

4,394

—

Out-of-sample length

998

—

Return, backtest period (annualized) (backtest)

28.12%

—

Return, backtest period (cumulative) (backtest)

7429%

—

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

19.33%

76.55%

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

101.49%

3.91%

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

0.60%

—

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

0.89%

0.00%

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

1.16%

—

Return, trailing 1 year (backtest)

15.56%

—

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

15.56%

0.00%

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

-0.53%

—

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

2.33%

0.00%

SPY annualized return over the backtest window (backtest)

15.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.85

—

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

0.77

180.23

Maximum drawdown, backtest period (backtest)

-33.23%

—

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

-25.21%

-0.42%

Sharpe ratio, backtest period (backtest)

1.10

—

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

0.91

9.00

Sortino ratio, backtest period (backtest)

1.79

—

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

1.32

—

Standard deviation, backtest period (backtest)

25.36%

—

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

22.13%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

—

Rebalance frequency

none

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