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Cautious Sub-System Sorter: TQQQ Dips, Bonds, VXX 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)

hedging, leveraged etfs, mean-reversion, risk-on/risk-off, tactical etf rotation, 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)

-0.09

—

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

1.23

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

59.83

—

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

65.26

—

Daily win rate, backtest period (backtest)

57.84%

—

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

53.76%

—

Backtest

Backtest final value (from $10,000)

$1.8M

—

Backtest regulatory fees

$8,366

—

Backtest slippage cost

$69k

—

Returns

Backtest length

1,812

—

Out-of-sample length

558

—

Return, backtest period (annualized) (backtest)

106.14%

—

Return, backtest period (cumulative) (backtest)

18k%

—

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

13.79%

67.14%

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

32.78%

4.80%

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

-2.03%

—

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

5.97%

4.80%

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

-7.54%

—

Return, trailing 1 year (backtest)

8.26%

—

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

17.62%

0.00%

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

-7.78%

—

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

8.26%

0.00%

SPY annualized return over the backtest window (backtest)

16.00%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.05

—

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

0.40

53.07

Maximum drawdown, backtest period (backtest)

-34.81%

—

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

-34.81%

-1.27%

Sharpe ratio, backtest period (backtest)

2.72

—

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

0.61

4.69

Sortino ratio, backtest period (backtest)

4.94

—

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

0.66

—

Standard deviation, backtest period (backtest)

28.05%

—

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

27.14%

11.60%

Quality

Community review status

REJECTED

—

Holdings

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

0.29

—

Construction

Logic complexity (node count)

2,277

—

Rebalance corridor width

3.00%

1.00%

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