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Chom66x Flow State Tech/Crypto Trend Rotation 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)

crypto proxy, dynamic hedging, leveraged etfs, managed futures, momentum, risk-on/risk-off, trend-following, volatility hedge

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)

3.34

—

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

1.77

—

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

0.17

—

Trading activity

Annualized turnover, backtest period (backtest)

76.92

—

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

94.14

—

Daily win rate, backtest period (backtest)

56.25%

—

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

56.32%

—

Backtest

Backtest final value (from $10,000)

$3.3M

—

Backtest regulatory fees

$3,187

—

Backtest slippage cost

$27k

—

Returns

Backtest length

608

—

Out-of-sample length

174

—

Return, backtest period (annualized) (backtest)

1005%

—

Return, backtest period (cumulative) (backtest)

33k%

—

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

1471%

67.14%

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

577.22%

4.80%

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

-8.92%

—

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

6.06%

4.80%

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

2.94%

—

Return, trailing 1 year (backtest)

964.77%

—

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

0.00%

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

-2.45%

—

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

166.49%

0.00%

SPY annualized return over the backtest window (backtest)

19.88%

—

Risk metrics

Calmar ratio, backtest period (backtest)

15.91

—

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

25.51

53.07

Maximum drawdown, backtest period (backtest)

-63.19%

—

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

-57.67%

-1.27%

Sharpe ratio, backtest period (backtest)

2.71

—

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

2.73

4.69

Sortino ratio, backtest period (backtest)

4.39

—

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

4.51

—

Standard deviation, backtest period (backtest)

112.52%

—

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

134.94%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.85

—

Construction

Logic complexity (node count)

408

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

560

—

Watchers

234

—

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