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Best 5-Day Module Rotation, VIX Peaks, 3x Dips vs Domestic Leveraged Sector Trend 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)

daily rebalance, leveraged etfs, mean-reversion + momentum, risk-on/risk-off, tactical multi-asset rotation, volatility hedging

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

-0.10

—

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

2.46

—

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

0.56

—

Trading activity

Annualized turnover, backtest period (backtest)

115.14

—

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

111.47

—

Daily win rate, backtest period (backtest)

58.47%

—

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

53.94%

—

Backtest

Backtest final value (from $10,000)

$957k

—

Backtest regulatory fees

$6,253

—

Backtest slippage cost

$49k

—

Returns

Backtest length

1,127

—

Out-of-sample length

393

—

Return, backtest period (annualized) (backtest)

177.01%

—

Return, backtest period (cumulative) (backtest)

9465%

—

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

26.86%

67.14%

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

44.24%

4.80%

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

-7.62%

—

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

-0.96%

4.80%

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

-10.00%

—

Return, trailing 1 year (backtest)

31.57%

—

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

60.75%

0.00%

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

-8.95%

—

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

29.18%

0.00%

SPY annualized return over the backtest window (backtest)

14.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.39

—

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

0.61

53.07

Maximum drawdown, backtest period (backtest)

-52.19%

—

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

-44.21%

-1.27%

Sharpe ratio, backtest period (backtest)

1.90

—

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

0.67

4.69

Sortino ratio, backtest period (backtest)

3.10

—

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

0.95

—

Standard deviation, backtest period (backtest)

64.26%

—

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

74.53%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.69

—

Construction

Logic complexity (node count)

719

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

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