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Top-2 Mega-Cap Stock Momentum with T-Bill Fallback 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)

mega-cap equities, momentum, moving averages, risk-on/risk-off, rsi filters, tactical allocation, trend-following

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)

0.23

—

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

0.53

—

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

0.39

—

Trading activity

Annualized turnover, backtest period (backtest)

52.37

—

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

49.72

—

Daily win rate, backtest period (backtest)

53.73%

—

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

53.77%

—

Backtest

Backtest final value (from $10,000)

$855k

—

Backtest regulatory fees

$3,247

—

Backtest slippage cost

$27k

—

Returns

Backtest length

3,549

—

Out-of-sample length

517

—

Return, backtest period (annualized) (backtest)

37.13%

—

Return, backtest period (cumulative) (backtest)

8447%

—

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

34.63%

3.62%

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

84.27%

2.81%

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

1.19%

—

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

8.11%

0.34%

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

0.68%

—

Return, trailing 1 year (backtest)

-2.63%

—

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

-2.64%

6.30%

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

-1.06%

—

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

-7.75%

0.95%

SPY annualized return over the backtest window (backtest)

14.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.29

—

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

1.24

331.36

Maximum drawdown, backtest period (backtest)

-28.74%

—

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

-27.89%

-0.01%

Sharpe ratio, backtest period (backtest)

1.41

—

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

1.47

18.06

Sortino ratio, backtest period (backtest)

2.26

—

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

2.32

—

Standard deviation, backtest period (backtest)

24.44%

—

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

21.95%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.42

—

Construction

Logic complexity (node count)

262

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

197

—

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