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Cheap Volatility Buyer with Leveraged Tech and Oil vs Oil, Gas, Semis and Treasuries Short-Term Pair 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)

defensive rotation, leveraged etfs, momentum, risk-on/off, tactical allocation, trend filter, volatility

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.21

—

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

0.26

—

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

0.15

—

Trading activity

Annualized turnover, backtest period (backtest)

47.60

—

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

50.86

—

Daily win rate, backtest period (backtest)

57.26%

—

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

54.27%

—

Backtest

Backtest final value (from $10,000)

$80.8M

—

Backtest regulatory fees

$170k

—

Backtest slippage cost

$1.6M

—

Returns

Backtest length

2,770

—

Out-of-sample length

328

—

Return, backtest period (annualized) (backtest)

126.64%

—

Return, backtest period (cumulative) (backtest)

808k%

—

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

34.34%

261.52%

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

46.00%

6.85%

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

-2.40%

—

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

0.45%

1.95%

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

-6.36%

—

Return, trailing 1 year (backtest)

15.52%

—

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

38.57%

0.00%

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

-8.15%

—

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

-4.48%

6.14%

SPY annualized return over the backtest window (backtest)

14.77%

—

Risk metrics

Calmar ratio, backtest period (backtest)

8.39

—

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

2.61

376.45

Maximum drawdown, backtest period (backtest)

-15.10%

—

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

-13.14%

-0.69%

Sharpe ratio, backtest period (backtest)

2.94

—

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

1.55

7.79

Sortino ratio, backtest period (backtest)

8.50

—

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

2.00

—

Standard deviation, backtest period (backtest)

29.24%

—

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

20.44%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.57

—

Construction

Logic complexity (node count)

1,518

—

Rebalance corridor width

3.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

116

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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