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Treasury Bond-Signal Rotation among SPY, QQQ and SOXX 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)

momentum (rsi‑7), nasdaq tilt, risk-on/risk-off, semiconductors, single-position, tactical rotation, us equities, us treasuries

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)

-0.01

—

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

1.52

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

69.51

—

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

60.40

—

Daily win rate, backtest period (backtest)

54.00%

—

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

51.76%

—

Backtest

Backtest final value (from $10,000)

$173k

—

Backtest regulatory fees

$1,114

—

Backtest slippage cost

$9,717

—

Returns

Backtest length

4,865

—

Out-of-sample length

993

—

Return, backtest period (annualized) (backtest)

15.91%

—

Return, backtest period (cumulative) (backtest)

1631%

—

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

29.39%

76.55%

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

176.31%

3.91%

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

-0.69%

—

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

-3.64%

0.00%

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

-5.01%

—

Return, trailing 1 year (backtest)

38.83%

—

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

38.83%

0.00%

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

-2.32%

—

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

-6.14%

0.00%

SPY annualized return over the backtest window (backtest)

10.89%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.26

—

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

0.77

180.23

Maximum drawdown, backtest period (backtest)

-61.43%

—

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

-38.01%

-0.42%

Sharpe ratio, backtest period (backtest)

0.72

—

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

0.98

9.00

Sortino ratio, backtest period (backtest)

1.04

—

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

1.48

—

Standard deviation, backtest period (backtest)

24.91%

—

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

31.45%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

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