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50/50 Leveraged Treasuries and Stocks with RSI 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)

leveraged etfs, risk-on/risk-off, rsi, tactical allocation, trend following, us equities, us treasuries

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)

-0.04

—

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

1.52

—

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

0.83

—

Trading activity

Annualized turnover, backtest period (backtest)

17.10

—

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

15.68

—

Daily win rate, backtest period (backtest)

56.22%

—

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

55.99%

—

Backtest

Backtest final value (from $10,000)

$2.5M

—

Backtest regulatory fees

$3,801

—

Backtest slippage cost

$30k

—

Returns

Backtest length

4,180

—

Out-of-sample length

693

—

Return, backtest period (annualized) (backtest)

39.54%

—

Return, backtest period (cumulative) (backtest)

25k%

—

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

27.19%

67.14%

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

93.95%

4.80%

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

0.86%

—

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

1.12%

4.80%

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

1.46%

—

Return, trailing 1 year (backtest)

18.81%

—

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

18.81%

0.00%

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

-1.65%

—

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

-0.39%

0.00%

SPY annualized return over the backtest window (backtest)

14.49%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.26

—

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

0.87

53.07

Maximum drawdown, backtest period (backtest)

-31.38%

—

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

-31.38%

-1.27%

Sharpe ratio, backtest period (backtest)

1.49

—

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

0.99

4.69

Sortino ratio, backtest period (backtest)

2.29

—

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

1.51

—

Standard deviation, backtest period (backtest)

24.30%

—

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

28.38%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.36

—

Construction

Logic complexity (node count)

135

—

Rebalance corridor width

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