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Calm-Trend 3x Nasdaq/S&P with TMF and T-Bill Exit 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, buy-the-dip, cash, equities, hedging, leveraged etfs, mean reversion, risk on/risk off, tactical asset 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)

0.07

—

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

1.22

—

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

0.51

—

Trading activity

Annualized turnover, backtest period (backtest)

49.97

—

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

49.72

—

Daily win rate, backtest period (backtest)

57.51%

—

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

53.98%

—

Backtest

Backtest final value (from $10,000)

$12.4M

—

Backtest regulatory fees

$35k

—

Backtest slippage cost

$304k

—

Returns

Backtest length

1,671

—

Out-of-sample length

415

—

Return, backtest period (annualized) (backtest)

192.53%

—

Return, backtest period (cumulative) (backtest)

124k%

—

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

26.21%

67.14%

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

46.03%

4.80%

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

-2.37%

—

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

0.32%

4.80%

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

-8.52%

—

Return, trailing 1 year (backtest)

-11.04%

—

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

-8.36%

0.00%

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

-9.16%

—

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

-7.36%

0.00%

SPY annualized return over the backtest window (backtest)

16.12%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.14

—

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

0.56

53.07

Maximum drawdown, backtest period (backtest)

-46.51%

—

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

-46.89%

-1.27%

Sharpe ratio, backtest period (backtest)

2.76

—

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

0.77

4.69

Sortino ratio, backtest period (backtest)

5.31

—

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

0.99

—

Standard deviation, backtest period (backtest)

42.06%

—

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

41.27%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.40

—

Construction

Logic complexity (node count)

4,763

—

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