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TQQQ Dip Buying with Bond Signal and Black Swan Switch vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

bond timing, leveraged etfs, mean reversion, risk-on/risk-off, tactical allocation, trend-following, volatility trading

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)

-0.05

—

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

2.06

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

55.61

—

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

56.91

—

Daily win rate, backtest period (backtest)

57.56%

—

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

54.06%

—

Backtest

Backtest final value (from $10,000)

$210k

—

Backtest regulatory fees

$766

—

Backtest slippage cost

$5,437

—

Returns

Backtest length

1,131

—

Out-of-sample length

653

—

Return, backtest period (annualized) (backtest)

96.99%

—

Return, backtest period (cumulative) (backtest)

2002%

—

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

24.19%

76.55%

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

75.45%

3.91%

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

-0.11%

—

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

10.08%

0.00%

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

0.18%

—

Return, trailing 1 year (backtest)

22.47%

—

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

22.47%

0.00%

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

-0.05%

—

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

16.53%

0.00%

SPY annualized return over the backtest window (backtest)

14.70%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.00

—

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

0.50

180.23

Maximum drawdown, backtest period (backtest)

-48.43%

—

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

-48.43%

-0.42%

Sharpe ratio, backtest period (backtest)

1.75

—

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

0.69

9.00

Sortino ratio, backtest period (backtest)

2.87

—

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

1.03

—

Standard deviation, backtest period (backtest)

44.28%

—

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

48.01%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.67

—

Construction

Logic complexity (node count)

2,094

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

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