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WAMgasm Leveraged Sector Momentum with Bond Trend Check 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)

leveraged/inverse etfs, momentum + mean reversion, risk-on/risk-off, sector rotation, tactical allocation

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)

0.18

—

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

0.85

—

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

0.24

—

Trading activity

Annualized turnover, backtest period (backtest)

110.49

—

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

110.36

—

Daily win rate, backtest period (backtest)

54.47%

—

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

53.82%

—

Backtest

Backtest final value (from $10,000)

$38.4M

—

Backtest regulatory fees

$229k

—

Backtest slippage cost

$2.1M

—

Returns

Backtest length

2,855

—

Out-of-sample length

693

—

Return, backtest period (annualized) (backtest)

107.16%

—

Return, backtest period (cumulative) (backtest)

384k%

—

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

23.58%

3.62%

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

79.15%

2.81%

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

4.28%

—

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

22.79%

0.34%

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

7.04%

—

Return, trailing 1 year (backtest)

36.38%

—

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

36.28%

6.30%

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

13.92%

—

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

2.02%

0.95%

SPY annualized return over the backtest window (backtest)

14.05%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.40

—

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

0.48

331.36

Maximum drawdown, backtest period (backtest)

-76.54%

—

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

-49.30%

-0.01%

Sharpe ratio, backtest period (backtest)

1.48

—

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

0.66

18.06

Sortino ratio, backtest period (backtest)

2.26

—

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

0.98

—

Standard deviation, backtest period (backtest)

62.51%

—

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

55.27%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.29

—

Construction

Logic complexity (node count)

454

—

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