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Contrarian High-Beta ETF Baskets with Volatility Hedges 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)

high beta themes, leveraged/inverse etfs, mean reversion, regime switching, tactical rotation, treasuries, us dollar, us equities, volatility (vix)

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)

0.35

—

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

1.26

—

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

0.34

—

Trading activity

Annualized turnover, backtest period (backtest)

119.47

—

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

117.70

—

Daily win rate, backtest period (backtest)

54.27%

—

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

52.99%

—

Backtest

Backtest final value (from $10,000)

$17.7M

—

Backtest regulatory fees

$75k

—

Backtest slippage cost

$664k

—

Returns

Backtest length

1,734

—

Out-of-sample length

753

—

Return, backtest period (annualized) (backtest)

196.20%

—

Return, backtest period (cumulative) (backtest)

176k%

—

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

59.56%

67.14%

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

304.69%

4.80%

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

-3.66%

—

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

8.08%

4.80%

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

-3.77%

—

Return, trailing 1 year (backtest)

168.16%

—

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

167.95%

0.00%

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

1.72%

—

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

32.37%

0.00%

SPY annualized return over the backtest window (backtest)

16.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.16

—

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

1.27

53.07

Maximum drawdown, backtest period (backtest)

-47.19%

—

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

-46.77%

-1.27%

Sharpe ratio, backtest period (backtest)

2.08

—

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

1.10

4.69

Sortino ratio, backtest period (backtest)

3.47

—

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

1.72

—

Standard deviation, backtest period (backtest)

61.33%

—

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

56.88%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.48

—

Construction

Logic complexity (node count)

236

—

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