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Blended Regime Switching with QLD Dips and Oil Hedge vs Rising Rates Volatility Switch Risk-Parity Mix

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)

hedged, leveraged etfs, multi-asset, regime switching, tactical asset allocation, trend following, volatility hedging

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

0.94

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

29.97

—

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

27.23

—

Daily win rate, backtest period (backtest)

56.81%

—

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

55.73%

—

Backtest

Backtest final value (from $10,000)

$3.5M

—

Backtest regulatory fees

$7,680

—

Backtest slippage cost

$61k

—

Returns

Backtest length

3,765

—

Out-of-sample length

1,012

—

Return, backtest period (annualized) (backtest)

48.06%

—

Return, backtest period (cumulative) (backtest)

35k%

—

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

28.68%

3.62%

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

175.58%

2.81%

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

0.38%

—

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

2.33%

0.34%

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

0.41%

—

Return, trailing 1 year (backtest)

11.89%

—

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

11.89%

6.30%

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

0.68%

—

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

-0.05%

0.95%

SPY annualized return over the backtest window (backtest)

15.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.23

—

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

1.33

331.36

Maximum drawdown, backtest period (backtest)

-21.55%

—

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

-21.55%

-0.01%

Sharpe ratio, backtest period (backtest)

1.88

—

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

1.25

18.06

Sortino ratio, backtest period (backtest)

3.18

—

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

1.89

—

Standard deviation, backtest period (backtest)

22.23%

—

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

22.20%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.35

—

Construction

Logic complexity (node count)

313

—

Rebalance corridor width

25.00%

5.00%

Rebalance frequency

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