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Compare investment strategies

2020s Sort Leveraged Tech Trend with Hedge Rotation 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)

high-risk, leveraged-etfs, market-timing, momentum, multi-asset, risk-on/off, tactical-asset-allocation, tech-focused, trend-following, volatility-hedging

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)

0.44

—

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

1.38

—

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

0.36

—

Trading activity

Annualized turnover, backtest period (backtest)

108.56

—

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

92.12

—

Daily win rate, backtest period (backtest)

59.28%

—

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

54.39%

—

Backtest

Backtest final value (from $10,000)

$6.6B

—

Backtest regulatory fees

$22.1M

—

Backtest slippage cost

$213.3M

—

Returns

Backtest length

1,665

—

Out-of-sample length

524

—

Return, backtest period (annualized) (backtest)

659.00%

—

Return, backtest period (cumulative) (backtest)

65972k%

—

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

70.96%

261.52%

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

205.64%

6.85%

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

-1.53%

—

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

-5.22%

1.95%

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

-2.62%

—

Return, trailing 1 year (backtest)

7.76%

—

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

7.72%

0.00%

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

-2.68%

—

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

35.23%

6.14%

SPY annualized return over the backtest window (backtest)

16.46%

—

Risk metrics

Calmar ratio, backtest period (backtest)

15.11

—

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

1.63

376.45

Maximum drawdown, backtest period (backtest)

-43.62%

—

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

-43.63%

-0.69%

Sharpe ratio, backtest period (backtest)

3.27

—

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

1.17

7.79

Sortino ratio, backtest period (backtest)

6.51

—

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

1.90

—

Standard deviation, backtest period (backtest)

69.03%

—

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

61.93%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.47

—

Construction

Logic complexity (node count)

2,306

—

Rebalance corridor width

1.00%

—

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