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Blend of Cautious 3x Rotation, Treasuries and T-Bills 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)

buy-the-dip, daily rebalance, leveraged etfs, momentum, risk management, tactical allocation, trend-following, volatility targeting

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)

-0.11

—

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

2.60

—

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

0.89

—

Trading activity

Annualized turnover, backtest period (backtest)

26.16

—

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

20.30

—

Daily win rate, backtest period (backtest)

53.01%

—

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

56.88%

—

Backtest

Backtest final value (from $10,000)

$21.1M

—

Backtest regulatory fees

$31k

—

Backtest slippage cost

$252k

—

Returns

Backtest length

4,148

—

Out-of-sample length

865

—

Return, backtest period (annualized) (backtest)

59.18%

—

Return, backtest period (cumulative) (backtest)

211k%

—

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

39.65%

67.14%

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

215.10%

4.80%

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

1.00%

—

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

-1.23%

4.80%

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

1.91%

—

Return, trailing 1 year (backtest)

23.30%

—

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

23.29%

0.00%

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

-0.64%

—

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

-3.80%

0.00%

SPY annualized return over the backtest window (backtest)

13.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.18

—

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

0.79

53.07

Maximum drawdown, backtest period (backtest)

-50.18%

—

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

-50.18%

-1.27%

Sharpe ratio, backtest period (backtest)

1.42

—

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

0.98

4.69

Sortino ratio, backtest period (backtest)

2.21

—

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

1.49

—

Standard deviation, backtest period (backtest)

37.81%

—

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

43.31%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.54

—

Construction

Logic complexity (node count)

3,519

—

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