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Weekly Dollar, Momentum Stocks and Bonds Regime Switch 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)

bonds, commodities, equities, momentum, multi-asset, regime switching, tactical asset allocation, usd hedge, volatility filter

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)

0.25

—

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

1.01

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

23.52

—

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

24.11

—

Daily win rate, backtest period (backtest)

55.06%

—

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

54.78%

—

Backtest

Backtest final value (from $10,000)

$1.1M

—

Backtest regulatory fees

$1,986

—

Backtest slippage cost

$16k

—

Returns

Backtest length

3,133

—

Out-of-sample length

356

—

Return, backtest period (annualized) (backtest)

46.36%

—

Return, backtest period (cumulative) (backtest)

11k%

—

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

60.84%

3.62%

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

96.07%

2.81%

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

-0.05%

—

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

-0.50%

0.34%

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

0.53%

—

Return, trailing 1 year (backtest)

39.18%

—

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

39.18%

6.30%

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

2.64%

—

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

6.69%

0.95%

SPY annualized return over the backtest window (backtest)

14.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.92

—

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

3.80

331.36

Maximum drawdown, backtest period (backtest)

-50.64%

—

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

-16.01%

-0.01%

Sharpe ratio, backtest period (backtest)

1.73

—

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

2.18

18.06

Sortino ratio, backtest period (backtest)

2.69

—

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

3.47

—

Standard deviation, backtest period (backtest)

23.60%

—

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

23.04%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.17

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

weekly

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