Side-by-side comparison

Compare investment strategies

Top-3 Sector ETFs by Two-Month Momentum 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)

etfs, long-only, momentum, monthly rebalance, sector rotation, us equities

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)

0.04

—

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

0.72

—

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

0.77

—

Trading activity

Annualized turnover, backtest period (backtest)

7.00

—

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

6.55

—

Daily win rate, backtest period (backtest)

54.44%

—

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

54.90%

—

Backtest

Backtest final value (from $10,000)

$29k

—

Backtest regulatory fees

$21

—

Backtest slippage cost

$158

—

Returns

Backtest length

2,048

—

Out-of-sample length

776

—

Return, backtest period (annualized) (backtest)

13.96%

—

Return, backtest period (cumulative) (backtest)

189.43%

—

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

19.77%

76.55%

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

74.39%

3.91%

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

0.60%

—

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

3.11%

0.00%

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

1.95%

—

Return, trailing 1 year (backtest)

28.39%

—

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

28.39%

0.00%

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

2.09%

—

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

2.13%

0.00%

SPY annualized return over the backtest window (backtest)

15.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.39

—

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

1.07

180.23

Maximum drawdown, backtest period (backtest)

-35.47%

—

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

-18.41%

-0.42%

Sharpe ratio, backtest period (backtest)

0.76

—

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

1.35

9.00

Sortino ratio, backtest period (backtest)

1.07

—

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

1.96

—

Standard deviation, backtest period (backtest)

19.66%

—

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

14.08%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

—

Rebalance frequency

monthly

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