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Blended Leveraged Trend Chaser with T-Bill Hedges 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)

crash protection, daily rebalance, leveraged etfs, tactical allocation, trend + mean reversion, 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)

0.03

—

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

2.08

—

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

0.68

—

Trading activity

Annualized turnover, backtest period (backtest)

34.35

—

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

33.26

—

Daily win rate, backtest period (backtest)

55.28%

—

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

54.71%

—

Backtest

Backtest final value (from $10,000)

$207.1M

—

Backtest regulatory fees

$387k

—

Backtest slippage cost

$3.7M

—

Returns

Backtest length

4,148

—

Out-of-sample length

859

—

Return, backtest period (annualized) (backtest)

82.87%

—

Return, backtest period (cumulative) (backtest)

2071k%

—

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

44.45%

67.14%

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

250.78%

4.80%

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

0.25%

—

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

3.83%

4.80%

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

0.89%

—

Return, trailing 1 year (backtest)

12.91%

—

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

12.90%

0.00%

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

-0.69%

—

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

12.21%

0.00%

SPY annualized return over the backtest window (backtest)

13.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.10

—

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

1.14

53.07

Maximum drawdown, backtest period (backtest)

-39.49%

—

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

-38.91%

-1.27%

Sharpe ratio, backtest period (backtest)

1.75

—

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

1.02

4.69

Sortino ratio, backtest period (backtest)

3.09

—

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

1.72

—

Standard deviation, backtest period (backtest)

38.73%

—

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

45.65%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.44

—

Construction

Logic complexity (node count)

3,593

—

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