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Bear Dip Buying, Bull HFEAR 55/45 and Fund Surfing Blend 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)

commodities, dip-buying, dollar, gold, leveraged etfs, mean reversion, risk-on/risk-off, tactical allocation, tech/semis, treasuries, us equities, volatility regimes

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)

-0.17

—

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

2.38

—

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

0.78

—

Trading activity

Annualized turnover, backtest period (backtest)

30.22

—

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

23.52

—

Daily win rate, backtest period (backtest)

55.66%

—

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

54.30%

—

Backtest

Backtest final value (from $10,000)

$19.1M

—

Backtest regulatory fees

$38k

—

Backtest slippage cost

$331k

—

Returns

Backtest length

3,755

—

Out-of-sample length

941

—

Return, backtest period (annualized) (backtest)

66.01%

—

Return, backtest period (cumulative) (backtest)

191k%

—

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

25.23%

261.52%

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

131.88%

6.85%

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

-0.47%

—

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

-5.68%

1.95%

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

-0.00%

—

Return, trailing 1 year (backtest)

0.33%

—

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

0.33%

0.00%

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

-1.14%

—

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

-23.21%

6.14%

SPY annualized return over the backtest window (backtest)

15.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.22

—

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

0.47

376.45

Maximum drawdown, backtest period (backtest)

-54.16%

—

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

-54.17%

-0.69%

Sharpe ratio, backtest period (backtest)

1.53

—

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

0.72

7.79

Sortino ratio, backtest period (backtest)

2.41

—

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

1.02

—

Standard deviation, backtest period (backtest)

37.87%

—

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

45.55%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.35

—

Construction

Logic complexity (node count)

117

—

Rebalance corridor width

5.00%

—

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