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Anti-Beta Defense with Small UPRO Sleeve vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

What they say: stated rules

Each rule is quoted from the strategy's own documents. Tap a ✓ to read the quote. Shared rules come first.

Rules stated

Allocation target

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Allocation target: Equities

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Hedge / defensive overlay

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Hedge / defensive overlay: Cash / T-bills

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Leverage use

—

Trading signal: RSI overbought / oversold

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Trading signal: Trend (moving averages)

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Trading signal: Volatility regime (VIX)

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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)

anti-beta core, defensive rotation, leveraged sleeve, risk-on/risk-off, tactical allocation, trend following, volatility targeting

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)

0.29

—

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

0.27

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

0.21

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Trading activity

Annualized turnover, backtest period (backtest)

63.22

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

61.04

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Daily win rate, backtest period (backtest)

51.58%

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

54.80%

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Backtest

Backtest final value (from $10,000)

$407k

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Backtest regulatory fees

$2,222

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Backtest slippage cost

$16k

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Returns

Backtest length

3,649

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Out-of-sample length

719

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Return, backtest period (annualized) (backtest)

29.15%

—

Return, backtest period (cumulative) (backtest)

3966%

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

39.47%

261.52%

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

158.69%

6.85%

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

0.00%

—

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

3.11%

1.95%

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

2.56%

—

Return, trailing 1 year (backtest)

17.83%

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

17.83%

0.00%

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

2.21%

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

5.60%

6.14%

SPY annualized return over the backtest window (backtest)

14.55%

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Risk metrics

Calmar ratio, backtest period (backtest)

0.68

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

2.23

376.45

Maximum drawdown, backtest period (backtest)

-43.16%

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

-17.70%

-0.69%

Sharpe ratio, backtest period (backtest)

1.36

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

1.78

7.79

Sortino ratio, backtest period (backtest)

2.01

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

2.82

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Standard deviation, backtest period (backtest)

20.42%

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

19.78%

18.11%

Quality

Community review status

ACTIVE

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Holdings

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

0.72

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Construction

Logic complexity (node count)

175

—

Rebalance corridor width

1.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

—

Watchers

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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