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Anti-Twitch High-Beta Bounces with Macro Filter 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)

bonds/usd/commodities signals, leveraged etfs, mean reversion, risk-on/risk-off, tactical etf, tech/semis focus, trend + risk filter

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)

-0.05

—

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

2.17

—

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

0.58

—

Trading activity

Annualized turnover, backtest period (backtest)

97.41

—

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

83.24

—

Daily win rate, backtest period (backtest)

53.69%

—

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

57.66%

—

Backtest

Backtest final value (from $10,000)

$3.7B

—

Backtest regulatory fees

$15.2M

—

Backtest slippage cost

$146.2M

—

Returns

Backtest length

3,215

—

Out-of-sample length

725

—

Return, backtest period (annualized) (backtest)

172.82%

—

Return, backtest period (cumulative) (backtest)

36519k%

—

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

30.54%

261.52%

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

115.52%

6.85%

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

0.04%

—

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

0.34%

1.95%

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

0.09%

—

Return, trailing 1 year (backtest)

56.15%

—

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

56.11%

0.00%

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

0.17%

—

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

24.19%

6.14%

SPY annualized return over the backtest window (backtest)

13.86%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.71

—

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

0.48

376.45

Maximum drawdown, backtest period (backtest)

-63.67%

—

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

-63.67%

-0.69%

Sharpe ratio, backtest period (backtest)

2.06

—

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

0.73

7.79

Sortino ratio, backtest period (backtest)

3.61

—

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

1.27

—

Standard deviation, backtest period (backtest)

56.27%

—

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

57.15%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.79

—

Construction

Logic complexity (node count)

359

—

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