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Compare investment strategies

Two-Vote SPY Trend Following with SHY Fallback vs Rising Rates Volatility Switch Risk-Parity Mix

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)

moving-average crossover, risk-on/risk-off, short-term treasuries, tactical allocation, trend following, us large-cap equities

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

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)

0.54

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

6.43

—

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

4.07

—

Daily win rate, backtest period (backtest)

55.00%

—

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

55.64%

—

Backtest

Backtest final value (from $10,000)

$92k

—

Backtest regulatory fees

$108

—

Backtest slippage cost

$907

—

Returns

Backtest length

6,096

—

Out-of-sample length

683

—

Return, backtest period (annualized) (backtest)

9.60%

—

Return, backtest period (cumulative) (backtest)

818.33%

—

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

16.25%

3.62%

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

49.93%

2.81%

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

-1.11%

—

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

2.37%

0.34%

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

-1.49%

—

Return, trailing 1 year (backtest)

10.64%

—

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

12.40%

6.30%

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

-1.08%

—

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

3.83%

0.95%

SPY annualized return over the backtest window (backtest)

11.50%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.59

—

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

1.93

331.36

Maximum drawdown, backtest period (backtest)

-16.30%

—

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

-8.42%

-0.01%

Sharpe ratio, backtest period (backtest)

0.91

—

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

1.39

18.06

Sortino ratio, backtest period (backtest)

1.26

—

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

1.89

—

Standard deviation, backtest period (backtest)

10.72%

—

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

11.32%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.97

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

Rebalance frequency

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