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Weekly Mega-Cap Breadth Rotation with SPY or LLY 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)

large-cap tech, mega-cap tilt, relative strength, single-stock rotation, tactical, us equities, weekly

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)

0.17

—

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

1.56

—

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

0.65

—

Trading activity

Annualized turnover, backtest period (backtest)

11.56

—

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

9.73

—

Daily win rate, backtest period (backtest)

53.73%

—

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

53.79%

—

Backtest

Backtest final value (from $10,000)

$11.7M

—

Backtest regulatory fees

$6,605

—

Backtest slippage cost

$56k

—

Returns

Backtest length

3,618

—

Out-of-sample length

699

—

Return, backtest period (annualized) (backtest)

63.55%

—

Return, backtest period (cumulative) (backtest)

117k%

—

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

50.86%

3.62%

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

213.37%

2.81%

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

-0.52%

—

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

2.62%

0.34%

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

-2.00%

—

Return, trailing 1 year (backtest)

13.59%

—

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

13.59%

6.30%

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

1.87%

—

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

3.59%

0.95%

SPY annualized return over the backtest window (backtest)

15.28%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.50

—

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

1.63

331.36

Maximum drawdown, backtest period (backtest)

-42.46%

—

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

-31.30%

-0.01%

Sharpe ratio, backtest period (backtest)

1.52

—

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

1.30

18.06

Sortino ratio, backtest period (backtest)

2.49

—

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

2.05

—

Standard deviation, backtest period (backtest)

36.89%

—

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

36.80%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

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