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Top-5 of 10 Mega-Caps by Momentum, Inverse-Vol Weighted vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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)

concentrated portfolio, daily rebalancing, inverse-volatility weighting, momentum, trend-following, us large-cap equities

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.10

—

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

0.76

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

23.20

—

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

22.25

—

Daily win rate, backtest period (backtest)

55.68%

—

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

52.44%

—

Backtest

Backtest final value (from $10,000)

$774k

—

Backtest regulatory fees

$1,963

—

Backtest slippage cost

$15k

—

Returns

Backtest length

4,041

—

Out-of-sample length

410

—

Return, backtest period (annualized) (backtest)

31.15%

—

Return, backtest period (cumulative) (backtest)

7640%

—

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

25.02%

261.52%

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

43.17%

6.85%

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

0.37%

—

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

2.02%

1.95%

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

0.68%

—

Return, trailing 1 year (backtest)

7.31%

—

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

7.76%

0.00%

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

1.68%

—

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

2.42%

6.14%

SPY annualized return over the backtest window (backtest)

14.70%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.92

—

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

1.68

376.45

Maximum drawdown, backtest period (backtest)

-33.90%

—

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

-14.87%

-0.69%

Sharpe ratio, backtest period (backtest)

1.35

—

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

1.30

7.79

Sortino ratio, backtest period (backtest)

1.98

—

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

2.03

—

Standard deviation, backtest period (backtest)

21.97%

—

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

18.59%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.20

—

Construction

Logic complexity (node count)

—

Rebalance frequency

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