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5-50D RSI Mean Reversion Semiconductor Variant vs Domestic Leveraged Sector Trend 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)

hedged, leveraged etfs, mean reversion, semiconductors, tactical, volatility-regime

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.40

—

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

1.08

—

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

0.20

—

Trading activity

Annualized turnover, backtest period (backtest)

155.68

—

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

155.64

—

Daily win rate, backtest period (backtest)

54.17%

—

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

51.67%

—

Backtest

Backtest final value (from $10,000)

$88.4M

—

Backtest regulatory fees

$808k

—

Backtest slippage cost

$7.7M

—

Returns

Backtest length

3,522

—

Out-of-sample length

1,018

—

Return, backtest period (annualized) (backtest)

91.56%

—

Return, backtest period (cumulative) (backtest)

884k%

—

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

30.25%

67.14%

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

191.11%

4.80%

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

-1.94%

—

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

-15.16%

4.80%

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

-13.48%

—

Return, trailing 1 year (backtest)

23.79%

—

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

23.74%

0.00%

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

-13.13%

—

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

-22.54%

0.00%

SPY annualized return over the backtest window (backtest)

14.66%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.55

—

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

0.51

53.07

Maximum drawdown, backtest period (backtest)

-59.25%

—

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

-59.28%

-1.27%

Sharpe ratio, backtest period (backtest)

1.31

—

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

0.73

4.69

Sortino ratio, backtest period (backtest)

2.11

—

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

1.12

—

Standard deviation, backtest period (backtest)

66.22%

—

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

84.17%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.74

—

Construction

Logic complexity (node count)

3,655

—

Rebalance corridor width

8.00%

1.00%

Rebalance frequency

none

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