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Compare investment strategies

TQQQ with Bond Trend, Drawdown and VIX Filters vs Macro-Filtered Short-Term Momentum with Mean Reversion

What they say: stated rules

Each rule is quoted from the strategy's own documents. Tap a ✓ to read the quote. Shared rules come first.

Rules stated

Allocation target: Equities

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Hedge / defensive overlay

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Leverage use

—

Rebalance schedule

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Trading signal: Drawdown / loss from peak

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Trading signal: Interest rates / yield curve

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Trading signal: Volatility regime (VIX)

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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)

daily rebalance, leveraged tech, rate regime, risk-on/off, safe-haven mix, volatility filter

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)

0.19

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

1.59

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

0.67

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Trading activity

Annualized turnover, backtest period (backtest)

31.22

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

44.08

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Daily win rate, backtest period (backtest)

56.02%

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

54.86%

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Backtest

Backtest final value (from $10,000)

$5.9M

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Backtest regulatory fees

$21k

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Backtest slippage cost

$169k

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Returns

Backtest length

3,770

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Out-of-sample length

1,132

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Return, backtest period (annualized) (backtest)

53.25%

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Return, backtest period (cumulative) (backtest)

59k%

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

40.79%

76.55%

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

365.60%

3.91%

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

0.81%

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

4.77%

0.00%

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

-0.19%

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Return, trailing 1 year (backtest)

9.42%

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

9.41%

0.00%

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

0.90%

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

-6.71%

0.00%

SPY annualized return over the backtest window (backtest)

15.33%

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Risk metrics

Calmar ratio, backtest period (backtest)

0.90

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

0.69

180.23

Maximum drawdown, backtest period (backtest)

-59.32%

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

-59.32%

-0.42%

Sharpe ratio, backtest period (backtest)

1.22

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

1.05

9.00

Sortino ratio, backtest period (backtest)

1.76

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

1.52

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Standard deviation, backtest period (backtest)

42.50%

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

40.60%

6.75%

Quality

Community review status

ACTIVE

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Holdings

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

0.60

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Construction

Logic complexity (node count)

—

Rebalance frequency

daily

Popularity

Remixes (copies)

1,303

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Watchers

811

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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