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CFS Blend: 3x Stocks, 3x Treasuries and Cash Surfing 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)

leveraged etfs, momentum & dip-buying, risk-parity, tactical allocation, 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)

1.88

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

35.38

—

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

31.09

—

Daily win rate, backtest period (backtest)

56.21%

—

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

54.92%

—

Backtest

Backtest final value (from $10,000)

$5.3M

—

Backtest regulatory fees

$14k

—

Backtest slippage cost

$116k

—

Returns

Backtest length

3,220

—

Out-of-sample length

843

—

Return, backtest period (annualized) (backtest)

63.32%

—

Return, backtest period (cumulative) (backtest)

53k%

—

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

25.92%

67.14%

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

116.40%

4.80%

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

0.48%

—

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

-1.34%

4.80%

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

1.14%

—

Return, trailing 1 year (backtest)

17.38%

—

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

17.37%

0.00%

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

-0.44%

—

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

5.38%

0.00%

SPY annualized return over the backtest window (backtest)

13.99%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.19

—

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

0.49

53.07

Maximum drawdown, backtest period (backtest)

-53.14%

—

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

-53.15%

-1.27%

Sharpe ratio, backtest period (backtest)

1.68

—

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

0.80

4.69

Sortino ratio, backtest period (backtest)

2.69

—

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

1.15

—

Standard deviation, backtest period (backtest)

32.26%

—

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

37.77%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.30

—

Construction

Logic complexity (node count)

3,554

—

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