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Calm/Stress Switch: 3x Indexes and Energy or Havens 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)

bonds, energy, gold, leveraged etfs, momentum, multi-asset, rotation, tactical allocation, trend-following, 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)

0.10

—

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

0.52

—

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

0.56

—

Trading activity

Annualized turnover, backtest period (backtest)

34.30

—

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

34.29

—

Daily win rate, backtest period (backtest)

54.86%

—

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

54.86%

—

Backtest

Backtest final value (from $10,000)

$14k

—

Backtest regulatory fees

$24

—

Backtest slippage cost

$133

—

Returns

Backtest length

381

—

Out-of-sample length

381

—

Return, backtest period (annualized) (backtest)

24.81%

—

Return, backtest period (cumulative) (backtest)

39.92%

—

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

24.85%

67.14%

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

39.26%

4.80%

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

0.19%

—

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

0.56%

4.80%

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

0.31%

—

Return, trailing 1 year (backtest)

15.65%

—

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

18.07%

0.00%

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

2.39%

—

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

5.67%

0.00%

SPY annualized return over the backtest window (backtest)

28.32%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.18

—

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

4.19

53.07

Maximum drawdown, backtest period (backtest)

-5.94%

—

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

-5.93%

-1.27%

Sharpe ratio, backtest period (backtest)

1.93

—

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

1.92

4.69

Sortino ratio, backtest period (backtest)

2.90

—

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

2.91

—

Standard deviation, backtest period (backtest)

11.87%

—

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

11.95%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.12

—

Construction

Logic complexity (node count)

5,212

—

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