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US Dollar Trend Switch Between China Stocks and Defensives 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)

cash buffer, china equities, gold, inverse-vol weighting, tactical allocation, usd trend signal, utilities

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)

0.18

—

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

0.32

—

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

0.31

—

Trading activity

Annualized turnover, backtest period (backtest)

2.97

—

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

2.23

—

Daily win rate, backtest period (backtest)

53.54%

—

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

56.66%

—

Backtest

Backtest final value (from $10,000)

$65k

—

Backtest regulatory fees

$56

—

Backtest slippage cost

$220

—

Returns

Backtest length

4,748

—

Out-of-sample length

533

—

Return, backtest period (annualized) (backtest)

10.40%

—

Return, backtest period (cumulative) (backtest)

545.68%

—

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

25.26%

76.55%

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

60.31%

3.91%

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

0.58%

—

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

-3.69%

0.00%

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

-0.65%

—

Return, trailing 1 year (backtest)

-3.86%

—

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

2.26%

0.00%

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

1.77%

—

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

-2.78%

0.00%

SPY annualized return over the backtest window (backtest)

11.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.33

—

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

1.35

180.23

Maximum drawdown, backtest period (backtest)

-31.13%

—

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

-18.72%

-0.42%

Sharpe ratio, backtest period (backtest)

0.72

—

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

1.44

9.00

Sortino ratio, backtest period (backtest)

1.04

—

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

2.07

—

Standard deviation, backtest period (backtest)

15.31%

—

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

16.58%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.51

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

1.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

121

—

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