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Top-2 Mega-Cap Momentum with SPXU Volatility Hedge vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

daily rebalance, leveraged inverse, momentum, tactical allocation, us large-cap, volatility filter

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.02

—

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

0.99

—

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

0.61

—

Trading activity

Annualized turnover, backtest period (backtest)

38.47

—

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

40.36

—

Daily win rate, backtest period (backtest)

55.38%

—

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

55.01%

—

Backtest

Backtest final value (from $10,000)

$4.0M

—

Backtest regulatory fees

$14k

—

Backtest slippage cost

$116k

—

Returns

Backtest length

3,924

—

Out-of-sample length

718

—

Return, backtest period (annualized) (backtest)

46.96%

—

Return, backtest period (cumulative) (backtest)

40k%

—

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

22.66%

3.62%

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

79.09%

2.81%

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

1.32%

—

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

0.52%

0.34%

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

1.05%

—

Return, trailing 1 year (backtest)

-6.37%

—

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

-6.37%

86.44%

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

0.55%

—

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

-3.58%

0.95%

SPY annualized return over the backtest window (backtest)

13.99%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.51

—

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

1.00

331.36

Maximum drawdown, backtest period (backtest)

-31.13%

—

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

-22.69%

-0.01%

Sharpe ratio, backtest period (backtest)

1.34

—

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

0.95

18.06

Sortino ratio, backtest period (backtest)

2.17

—

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

1.37

—

Standard deviation, backtest period (backtest)

32.52%

—

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

24.85%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

9.00%

Rebalance frequency

daily

none

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