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Compare investment strategies

Trend-Filtered All-Weather Sleeves with T-Bill Fallback vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

all weather, daily rebalance, hedging, leveraged etfs, momentum, multi-asset, risk-managed, tactical allocation, trend following

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.39

—

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

0.73

—

Trading activity

Annualized turnover, backtest period (backtest)

13.14

—

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

10.89

—

Daily win rate, backtest period (backtest)

57.28%

—

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

57.86%

—

Backtest

Backtest final value (from $10,000)

$145k

—

Backtest regulatory fees

$460

—

Backtest slippage cost

$2,261

—

Returns

Backtest length

4,848

—

Out-of-sample length

560

—

Return, backtest period (annualized) (backtest)

14.89%

—

Return, backtest period (cumulative) (backtest)

1346%

—

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

16.77%

3.62%

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

40.70%

2.81%

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

-0.49%

—

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

1.74%

0.34%

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

-0.76%

—

Return, trailing 1 year (backtest)

12.81%

—

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

16.69%

86.44%

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

-0.53%

—

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

2.90%

0.95%

SPY annualized return over the backtest window (backtest)

10.69%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.57

—

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

1.93

331.36

Maximum drawdown, backtest period (backtest)

-9.48%

—

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

-8.70%

-0.01%

Sharpe ratio, backtest period (backtest)

1.79

—

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

1.82

18.06

Sortino ratio, backtest period (backtest)

2.85

—

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

2.85

—

Standard deviation, backtest period (backtest)

7.92%

—

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

8.72%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.20

—

Construction

Logic complexity (node count)

151

—

Rebalance corridor width

—

9.00%

Rebalance frequency

daily

none

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