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8/13 200-Day Leveraged ETF Risk-On/Off Rotation vs Rising Rates Volatility Switch Risk-Parity Mix

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/short-capable, leveraged etfs, multi-asset, risk-on/off, sector sleeves, tactical rotation, trend-following

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.23

—

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

1.11

—

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

0.66

—

Trading activity

Annualized turnover, backtest period (backtest)

54.42

—

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

51.46

—

Daily win rate, backtest period (backtest)

58.12%

—

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

58.37%

—

Backtest

Backtest final value (from $10,000)

$238k

—

Backtest regulatory fees

$635

—

Backtest slippage cost

$4,888

—

Returns

Backtest length

1,337

—

Out-of-sample length

771

—

Return, backtest period (annualized) (backtest)

81.69%

—

Return, backtest period (cumulative) (backtest)

2282%

—

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

53.32%

3.62%

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

270.32%

2.81%

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

0.38%

—

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

3.22%

0.34%

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

0.20%

—

Return, trailing 1 year (backtest)

60.40%

—

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

60.40%

6.30%

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

1.03%

—

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

2.75%

0.95%

SPY annualized return over the backtest window (backtest)

13.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.44

—

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

2.25

331.36

Maximum drawdown, backtest period (backtest)

-23.74%

—

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

-23.74%

-0.01%

Sharpe ratio, backtest period (backtest)

2.43

—

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

1.80

18.06

Sortino ratio, backtest period (backtest)

4.32

—

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

3.09

—

Standard deviation, backtest period (backtest)

25.93%

—

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

25.56%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.23

—

Construction

Logic complexity (node count)

610

—

Rebalance corridor width

1.00%

5.00%

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