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Best 20-Day Module Rotation with Managed Futures Switch vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

Every published figureShow 42 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, managed futures rotation, mean reversion, tactical asset allocation, tech momentum, volatility hedging

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)

0.16

—

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

0.89

—

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

0.19

—

Trading activity

Annualized turnover, backtest period (backtest)

102.61

—

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

105.88

—

Daily win rate, backtest period (backtest)

60.09%

—

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

54.75%

—

Backtest

Backtest final value (from $10,000)

$347k

—

Backtest regulatory fees

$1,919

—

Backtest slippage cost

$15k

—

Returns

Backtest length

679

—

Out-of-sample length

358

—

Return, backtest period (annualized) (backtest)

272.07%

—

Return, backtest period (cumulative) (backtest)

3366%

—

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

27.21%

261.52%

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

40.09%

6.85%

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

1.50%

—

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

-2.38%

1.95%

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

-4.28%

—

Return, trailing 1 year (backtest)

-25.46%

—

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

-12.06%

0.00%

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

-8.52%

—

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

13.71%

6.14%

SPY annualized return over the backtest window (backtest)

19.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.30

—

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

0.63

376.45

Maximum drawdown, backtest period (backtest)

-43.21%

—

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

-43.21%

-0.69%

Sharpe ratio, backtest period (backtest)

1.99

—

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

0.72

7.79

Sortino ratio, backtest period (backtest)

3.96

—

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

0.85

—

Standard deviation, backtest period (backtest)

81.03%

—

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

55.32%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.68

—

Construction

Logic complexity (node count)

3,193

—

Rebalance frequency

daily

Popularity

Remixes (copies)

131

—

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