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Big Bank Blender: XLF Gauge with FAS/FAZ and Safety Basket 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)

financials-focused, leveraged etfs, risk-on/off, tactical sector rotation, trend + mean reversion, 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)

0.05

—

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

1.36

—

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

0.60

—

Trading activity

Annualized turnover, backtest period (backtest)

90.35

—

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

90.16

—

Daily win rate, backtest period (backtest)

55.88%

—

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

55.08%

—

Backtest

Backtest final value (from $10,000)

$282k

—

Backtest regulatory fees

$2,043

—

Backtest slippage cost

$15k

—

Returns

Backtest length

1,514

—

Out-of-sample length

797

—

Return, backtest period (annualized) (backtest)

74.25%

—

Return, backtest period (cumulative) (backtest)

2718%

—

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

29.25%

67.14%

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

125.34%

4.80%

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

0.37%

—

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

-2.63%

4.80%

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

1.69%

—

Return, trailing 1 year (backtest)

1.42%

—

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

1.42%

0.00%

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

-0.71%

—

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

-1.93%

0.00%

SPY annualized return over the backtest window (backtest)

16.77%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.05

—

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

0.81

53.07

Maximum drawdown, backtest period (backtest)

-36.18%

—

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

-36.18%

-1.27%

Sharpe ratio, backtest period (backtest)

1.69

—

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

0.92

4.69

Sortino ratio, backtest period (backtest)

2.69

—

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

1.34

—

Standard deviation, backtest period (backtest)

36.91%

—

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

34.37%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.51

—

Construction

Logic complexity (node count)

468

—

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