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Bond and Credit Signal Contrarian 3x ETF Bet vs Macro-Filtered Short-Term Momentum with Mean Reversion

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

credit/rates signals, daily rebalancing, leveraged etfs, macro regime timing, mean‑reversion, tactical etf rotation, volatility etfs

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.38

—

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

-0.23

—

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

-0.16

—

Trading activity

Annualized turnover, backtest period (backtest)

27.44

—

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

9.16

—

Daily win rate, backtest period (backtest)

47.19%

—

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

77.95%

—

Backtest

Backtest final value (from $10,000)

$76.6M

—

Backtest regulatory fees

$76k

—

Backtest slippage cost

$713k

—

Returns

Backtest length

3,774

—

Out-of-sample length

440

—

Return, backtest period (annualized) (backtest)

81.67%

—

Return, backtest period (cumulative) (backtest)

765k%

—

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

36.19%

76.55%

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

71.69%

3.91%

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

0.04%

—

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

4.22%

0.00%

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

0.09%

—

Return, trailing 1 year (backtest)

23.88%

—

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

23.88%

0.00%

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

4.03%

—

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

4.85%

0.00%

SPY annualized return over the backtest window (backtest)

15.66%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.82

—

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

5.43

180.23

Maximum drawdown, backtest period (backtest)

-21.40%

—

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

-6.66%

-0.42%

Sharpe ratio, backtest period (backtest)

1.67

—

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

1.41

9.00

Sortino ratio, backtest period (backtest)

5.94

—

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

6.65

—

Standard deviation, backtest period (backtest)

39.85%

—

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

23.78%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

144

—

Rebalance frequency

daily

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