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Top-3 Mega-Cap Momentum with Defensive Mix and UVXY 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, defensive assets, mega-cap equities, momentum, risk management, tactical allocation, trend following, volatility hedge

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)

0.08

—

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

0.77

—

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

0.44

—

Trading activity

Annualized turnover, backtest period (backtest)

31.44

—

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

36.25

—

Daily win rate, backtest period (backtest)

55.50%

—

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

54.78%

—

Backtest

Backtest final value (from $10,000)

$5.2M

—

Backtest regulatory fees

$13k

—

Backtest slippage cost

$113k

—

Returns

Backtest length

2,982

—

Out-of-sample length

533

—

Return, backtest period (annualized) (backtest)

69.49%

—

Return, backtest period (cumulative) (backtest)

51k%

—

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

20.03%

3.62%

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

46.60%

2.81%

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

-1.83%

—

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

3.59%

0.34%

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

-0.38%

—

Return, trailing 1 year (backtest)

8.33%

—

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

9.93%

86.44%

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

-0.62%

—

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

-9.93%

0.95%

SPY annualized return over the backtest window (backtest)

13.61%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.74

—

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

0.79

331.36

Maximum drawdown, backtest period (backtest)

-25.38%

—

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

-25.38%

-0.01%

Sharpe ratio, backtest period (backtest)

1.83

—

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

0.79

18.06

Sortino ratio, backtest period (backtest)

3.15

—

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

1.21

—

Standard deviation, backtest period (backtest)

31.54%

—

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

28.37%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.34

—

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