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Compare investment strategies

Ultra 3x Tech Trend with Treasury and VIX Hedges 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)

bonds, commodities, leveraged etfs, risk-on/risk-off, tactical allocation, trend following, volatility hedging

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)

0.09

—

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

0.98

—

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

0.51

—

Trading activity

Annualized turnover, backtest period (backtest)

41.54

—

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

42.99

—

Daily win rate, backtest period (backtest)

58.27%

—

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

53.45%

—

Backtest

Backtest final value (from $10,000)

$594.0M

—

Backtest regulatory fees

$1.3M

—

Backtest slippage cost

$12.8M

—

Returns

Backtest length

3,779

—

Out-of-sample length

608

—

Return, backtest period (annualized) (backtest)

108.09%

—

Return, backtest period (cumulative) (backtest)

5940k%

—

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

22.81%

76.55%

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

63.52%

3.91%

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

4.89%

—

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

-2.88%

0.00%

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

2.16%

—

Return, trailing 1 year (backtest)

12.21%

—

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

7.69%

0.00%

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

3.46%

—

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

6.46%

0.00%

SPY annualized return over the backtest window (backtest)

15.38%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.05

—

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

0.85

180.23

Maximum drawdown, backtest period (backtest)

-26.69%

—

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

-26.69%

-0.42%

Sharpe ratio, backtest period (backtest)

2.89

—

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

0.82

9.00

Sortino ratio, backtest period (backtest)

5.80

—

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

1.46

—

Standard deviation, backtest period (backtest)

26.55%

—

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

30.52%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.21

—

Construction

Logic complexity (node count)

945

—

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