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3x Leveraged Stock and Treasury Rotation with VIX Hedge 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)

leveraged etf rotation, regime switching, tactical allocation, trend + mean‑reversion, volatility hedge

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)

0.00

—

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

2.98

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

60.98

—

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

44.00

—

Daily win rate, backtest period (backtest)

57.81%

—

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

54.06%

—

Backtest

Backtest final value (from $10,000)

$2.1B

—

Backtest regulatory fees

$3.2M

—

Backtest slippage cost

$30.9M

—

Returns

Backtest length

1,728

—

Out-of-sample length

505

—

Return, backtest period (annualized) (backtest)

494.59%

—

Return, backtest period (cumulative) (backtest)

20512k%

—

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

38.40%

261.52%

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

92.05%

6.85%

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

1.24%

—

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

-3.42%

1.95%

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

0.80%

—

Return, trailing 1 year (backtest)

29.51%

—

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

29.49%

0.00%

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

-6.09%

—

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

12.24%

6.14%

SPY annualized return over the backtest window (backtest)

16.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

8.30

—

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

0.64

376.45

Maximum drawdown, backtest period (backtest)

-59.58%

—

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

-59.58%

-0.69%

Sharpe ratio, backtest period (backtest)

2.80

—

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

0.79

7.79

Sortino ratio, backtest period (backtest)

5.52

—

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

1.38

—

Standard deviation, backtest period (backtest)

72.70%

—

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

69.04%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.38

—

Construction

Logic complexity (node count)

1,339

—

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