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Compare investment strategies

US Stocks, Energy, Clean Energy and Commodities Rotation vs ERX, Refiners and Gold Miners Inverse-Volatility 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)

commodities, energy, equities, leveraged/inverse etfs, momentum, multi-asset, risk-managed, tactical allocation, trend-following

commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced

Asset classes / instruments

equities

Market-relative

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

0.10

—

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

0.85

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

11.21

—

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

11.21

—

Daily win rate, backtest period (backtest)

60.47%

—

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

60.47%

—

Backtest

Backtest final value (from $10,000)

$16k

—

Backtest regulatory fees

—

Backtest slippage cost

$41

—

Returns

Backtest length

387

—

Out-of-sample length

387

—

Return, backtest period (annualized) (backtest)

35.43%

—

Return, backtest period (cumulative) (backtest)

59.52%

—

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

36.29%

138.64%

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

59.89%

3.87%

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

-0.36%

—

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

2.07%

8.12%

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

-0.32%

—

Return, trailing 1 year (backtest)

34.41%

—

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

33.98%

0.00%

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

0.39%

—

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

6.23%

0.00%

SPY annualized return over the backtest window (backtest)

27.40%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.90

—

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

2.97

51.98

Maximum drawdown, backtest period (backtest)

-12.20%

—

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

-12.20%

-2.67%

Sharpe ratio, backtest period (backtest)

1.71

—

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

1.74

4.29

Sortino ratio, backtest period (backtest)

2.97

—

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

2.97

—

Standard deviation, backtest period (backtest)

18.77%

—

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

18.89%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.21

—

Construction

Logic complexity (node count)

300

—

Rebalance corridor width

7.00%

10.00%

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