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TQQQ Trend with Defensive LLY/NVO/COST/GE Basket vs AutoSignals TQQQ vs SH Trend Switch

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)

leveraged etfs, momentum + mean-reversion, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

daily rebalancing, leveraged etfs, momentum (rsi), risk-on/risk-off, tactical allocation, trend-following

Asset classes / instruments

equities

Market-relative

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

-0.03

—

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

1.87

—

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

0.59

—

Trading activity

Annualized turnover, backtest period (backtest)

43.27

—

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

36.68

—

Daily win rate, backtest period (backtest)

57.05%

—

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

53.28%

—

Backtest

Backtest final value (from $10,000)

$24.8B

—

Backtest regulatory fees

$46.9M

—

Backtest slippage cost

$453.0M

—

Returns

Backtest length

3,772

—

Out-of-sample length

548

—

Return, backtest period (annualized) (backtest)

167.38%

—

Return, backtest period (cumulative) (backtest)

248413k%

—

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

24.78%

147.30%

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

61.13%

8.62%

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

0.25%

—

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

3.53%

8.61%

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

-2.53%

—

Return, trailing 1 year (backtest)

5.17%

—

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

2.99%

0.00%

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

-5.77%

—

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

-2.62%

0.00%

SPY annualized return over the backtest window (backtest)

15.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.68

—

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

0.54

173.27

Maximum drawdown, backtest period (backtest)

-45.51%

—

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

-45.51%

-0.85%

Sharpe ratio, backtest period (backtest)

2.14

—

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

0.68

6.68

Sortino ratio, backtest period (backtest)

3.96

—

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

1.01

—

Standard deviation, backtest period (backtest)

52.19%

—

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

51.62%

14.34%

Quality

Community review status

ACTIVE

—

Holdings

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

0.59

—

Construction

Logic complexity (node count)

177

—

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