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Wooden ARKK Machine Two-Week Laggard 3x Rotation 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)

cross-asset signal, daily rebalance, leveraged etfs, mean reversion, risk-on/off timing, tactical, tech/growth tilt

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)

0.65

—

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

1.11

—

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

0.25

—

Trading activity

Annualized turnover, backtest period (backtest)

141.66

—

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

138.26

—

Daily win rate, backtest period (backtest)

53.96%

—

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

52.75%

—

Backtest

Backtest final value (from $10,000)

$5.1M

—

Backtest regulatory fees

$20k

—

Backtest slippage cost

$165k

—

Returns

Backtest length

1,110

—

Out-of-sample length

853

—

Return, backtest period (annualized) (backtest)

311.59%

—

Return, backtest period (cumulative) (backtest)

51k%

—

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

95.25%

3.62%

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

865.61%

2.81%

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

8.98%

—

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

32.89%

0.34%

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

12.66%

—

Return, trailing 1 year (backtest)

103.09%

—

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

103.00%

6.30%

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

12.71%

—

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

26.57%

0.95%

SPY annualized return over the backtest window (backtest)

17.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.24

—

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

1.91

331.36

Maximum drawdown, backtest period (backtest)

-49.94%

—

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

-49.94%

-0.01%

Sharpe ratio, backtest period (backtest)

2.31

—

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

1.35

18.06

Sortino ratio, backtest period (backtest)

3.87

—

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

2.06

—

Standard deviation, backtest period (backtest)

72.60%

—

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

65.67%

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

daily

none

Popularity

Remixes (copies)

138

—

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