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2007 Sharpe 2.50 Hedged Tech Tactical Mix vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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, emerging markets, equities, gold, hedged, leveraged/inverse etfs, mean reversion, momentum, quant, risk-on/risk-off, tactical

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.15

—

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

0.44

—

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

0.47

—

Trading activity

Annualized turnover, backtest period (backtest)

44.29

—

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

40.08

—

Daily win rate, backtest period (backtest)

58.21%

—

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

53.78%

—

Backtest

Backtest final value (from $10,000)

$34.2M

—

Backtest regulatory fees

$93k

—

Backtest slippage cost

$829k

—

Returns

Backtest length

4,769

—

Out-of-sample length

543

—

Return, backtest period (annualized) (backtest)

53.71%

—

Return, backtest period (cumulative) (backtest)

342k%

—

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

24.80%

261.52%

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

60.47%

6.85%

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

-0.48%

—

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

1.08%

1.95%

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

-0.70%

—

Return, trailing 1 year (backtest)

7.32%

—

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

9.55%

0.00%

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

0.62%

—

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

5.36%

6.14%

SPY annualized return over the backtest window (backtest)

10.98%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.04

—

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

3.31

376.45

Maximum drawdown, backtest period (backtest)

-13.29%

—

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

-7.50%

-0.69%

Sharpe ratio, backtest period (backtest)

2.56

—

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

1.55

7.79

Sortino ratio, backtest period (backtest)

4.62

—

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

2.59

—

Standard deviation, backtest period (backtest)

17.40%

—

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

15.00%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.18

—

Construction

Logic complexity (node count)

145

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

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