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TMV or UPRO Switch on T-Bill vs Bond Strength 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)

bonds vs equities, daily rebalancing, inverse etfs, leveraged etfs, momentum, rate regime filter, tactical allocation

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)

0.32

—

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

-0.29

—

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

-0.13

—

Trading activity

Annualized turnover, backtest period (backtest)

37.72

—

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

—

Daily win rate, backtest period (backtest)

51.07%

—

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

50.58%

—

Backtest

Backtest final value (from $10,000)

$79k

—

Backtest regulatory fees

$345

—

Backtest slippage cost

$1,702

—

Returns

Backtest length

4,349

—

Out-of-sample length

688

—

Return, backtest period (annualized) (backtest)

12.76%

—

Return, backtest period (cumulative) (backtest)

694.86%

—

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

21.31%

76.55%

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

69.57%

3.91%

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

-0.36%

—

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

14.60%

0.00%

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

-1.72%

—

Return, trailing 1 year (backtest)

44.38%

—

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

44.38%

0.00%

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

4.58%

—

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

25.74%

0.00%

SPY annualized return over the backtest window (backtest)

15.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.17

—

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

0.59

180.23

Maximum drawdown, backtest period (backtest)

-76.56%

—

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

-36.13%

-0.42%

Sharpe ratio, backtest period (backtest)

0.49

—

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

0.71

9.00

Sortino ratio, backtest period (backtest)

0.70

—

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

1.07

—

Standard deviation, backtest period (backtest)

47.45%

—

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

36.31%

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