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30% Leveraged Index Trend, 70% Bond/VIX Defense 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)

bond momentum, hedged, high risk, leveraged etfs, mean reversion, risk-on/risk-off, tactical allocation, trend following, volatility trading

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)

0.04

—

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

0.97

—

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

0.72

—

Trading activity

Annualized turnover, backtest period (backtest)

31.58

—

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

29.85

—

Daily win rate, backtest period (backtest)

57.58%

—

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

55.41%

—

Backtest

Backtest final value (from $10,000)

$73k

—

Backtest regulatory fees

$165

—

Backtest slippage cost

$1,205

—

Returns

Backtest length

1,122

—

Out-of-sample length

545

—

Return, backtest period (annualized) (backtest)

56.35%

—

Return, backtest period (cumulative) (backtest)

632.75%

—

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

23.39%

261.52%

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

56.89%

6.85%

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

-2.46%

—

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

3.80%

1.95%

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

-3.84%

—

Return, trailing 1 year (backtest)

14.66%

—

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

21.45%

0.00%

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

-3.37%

—

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

9.55%

6.14%

SPY annualized return over the backtest window (backtest)

15.53%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.07

—

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

1.27

376.45

Maximum drawdown, backtest period (backtest)

-18.37%

—

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

-18.37%

-0.69%

Sharpe ratio, backtest period (backtest)

2.11

—

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

1.07

7.79

Sortino ratio, backtest period (backtest)

3.72

—

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

1.65

—

Standard deviation, backtest period (backtest)

22.37%

—

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

21.78%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.17

—

Construction

Logic complexity (node count)

313

—

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