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Top-2 Big Tech Monthly Momentum with Gold Defense vs Rising Rates Volatility Switch Risk-Parity 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, defensive (gold hedge), momentum, monthly rebalance, rules-based, tactical allocation, tech-heavy

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

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)

1.15

—

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

0.51

—

Trading activity

Annualized turnover, backtest period (backtest)

8.41

—

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

10.01

—

Daily win rate, backtest period (backtest)

54.07%

—

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

51.74%

—

Backtest

Backtest final value (from $10,000)

$943k

—

Backtest regulatory fees

$692

—

Backtest slippage cost

$6,115

—

Returns

Backtest length

3,133

—

Out-of-sample length

833

—

Return, backtest period (annualized) (backtest)

44.14%

—

Return, backtest period (cumulative) (backtest)

9334%

—

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

20.51%

3.62%

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

85.44%

2.81%

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

1.06%

—

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

2.03%

0.34%

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

1.06%

—

Return, trailing 1 year (backtest)

-9.52%

—

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

-9.52%

6.30%

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

-2.41%

—

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

-5.58%

0.95%

SPY annualized return over the backtest window (backtest)

14.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.27

—

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

0.59

331.36

Maximum drawdown, backtest period (backtest)

-34.83%

—

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

-34.83%

-0.01%

Sharpe ratio, backtest period (backtest)

1.36

—

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

0.72

18.06

Sortino ratio, backtest period (backtest)

2.10

—

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

1.08

—

Standard deviation, backtest period (backtest)

30.25%

—

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

33.48%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.55

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

monthly

none

Popularity

Remixes (copies)

317

—

Watchers

182

—

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