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VTI Trend Following with Gold, TIPS and Staples Defense vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

defensive tilt, risk-on/risk-off, tactical multi-asset, trend-following, volatility filter

bonds/cash, defensive sectors, leverage overlay, managed futures, risk-on/risk-off, tactical allocation, trend-following

Asset classes / instruments

equities

Market-relative

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

0.04

—

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

0.77

—

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

0.91

—

Trading activity

Annualized turnover, backtest period (backtest)

5.95

—

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

4.12

—

Daily win rate, backtest period (backtest)

55.29%

—

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

56.69%

—

Backtest

Backtest final value (from $10,000)

$120k

—

Backtest regulatory fees

$102

—

Backtest slippage cost

$725

—

Returns

Backtest length

3,954

—

Out-of-sample length

859

—

Return, backtest period (annualized) (backtest)

17.16%

—

Return, backtest period (cumulative) (backtest)

1101%

—

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

21.32%

11.23%

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

93.39%

0.81%

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

0.64%

—

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

0.77%

0.00%

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

0.98%

—

Return, trailing 1 year (backtest)

14.27%

—

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

14.27%

0.00%

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

0.40%

—

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

2.27%

0.00%

SPY annualized return over the backtest window (backtest)

14.17%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.82

—

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

1.85

14.66

Maximum drawdown, backtest period (backtest)

-20.84%

—

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

-11.52%

-0.77%

Sharpe ratio, backtest period (backtest)

1.16

—

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

1.60

3.90

Sortino ratio, backtest period (backtest)

1.71

—

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

2.55

—

Standard deviation, backtest period (backtest)

14.59%

—

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

12.57%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.58

—

Construction

Logic complexity (node count)

—

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