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Weekly Multi-Asset Momentum with TIP Trend Filter vs Bond and Defensive Signals Gate for TQQQ

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

momentum, multi-asset, risk management, tactical asset allocation, weekly rebalance

bond signals, daily rebalance, defensive factor, leveraged etf, nasdaq-100, risk-on/off, tactical momentum, trend following

Asset classes / instruments

equities

Market-relative

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

0.19

—

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

0.54

—

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

0.44

—

Trading activity

Annualized turnover, backtest period (backtest)

24.30

—

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

25.00

—

Daily win rate, backtest period (backtest)

56.13%

—

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

54.80%

—

Backtest

Backtest final value (from $10,000)

$320k

—

Backtest regulatory fees

$524

—

Backtest slippage cost

$4,323

—

Returns

Backtest length

2,375

—

Out-of-sample length

761

—

Return, backtest period (annualized) (backtest)

44.44%

—

Return, backtest period (cumulative) (backtest)

3103%

—

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

33.40%

207.42%

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

139.01%

17.40%

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

0.01%

—

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

2.21%

17.20%

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

-0.28%

—

Return, trailing 1 year (backtest)

25.19%

—

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

25.19%

0.00%

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

1.35%

—

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

8.46%

0.00%

SPY annualized return over the backtest window (backtest)

15.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.45

—

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

1.09

43.28

Maximum drawdown, backtest period (backtest)

-30.56%

—

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

-30.56%

-4.79%

Sharpe ratio, backtest period (backtest)

1.91

—

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

1.63

3.80

Sortino ratio, backtest period (backtest)

2.88

—

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

2.41

—

Standard deviation, backtest period (backtest)

20.32%

—

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

18.85%

31.69%

Quality

Community review status

ACTIVE

—

Holdings

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

0.18

—

Construction

Logic complexity (node count)

102

—

Rebalance frequency

weekly

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