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Crypto 100 Market-Cap Weighted Index vs Pencil's Down 3x Tech and Crypto Trend Switch

Every published figureShow 44 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

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bonds, crypto, leveraged etfs, momentum, regime-switching, tactical, volatility hedging

Asset classes / instruments

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equities

Market-relative

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

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1.81

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

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-0.09

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

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-0.02

Trading activity

Annualized turnover, backtest period (backtest)

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73.48

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

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72.03

Daily win rate, backtest period (backtest)

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59.56%

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

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56.79%

Backtest

Backtest final value (from $10,000)

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$16.5M

Backtest regulatory fees

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$26k

Backtest slippage cost

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$223k

Returns

Backtest length

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1,051

Out-of-sample length

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Return, backtest period (annualized) (backtest)

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490.02%

Return, backtest period (cumulative) (backtest)

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165k%

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

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404.20%

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

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69.29%

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

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0.46%

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

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2.44%

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

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-5.16%

Return, trailing 1 year (backtest)

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162.45%

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

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0.00%

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

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0.86%

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

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48.12%

SPY annualized return over the backtest window (backtest)

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18.31%

Risk metrics

Calmar ratio, backtest period (backtest)

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28.23

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

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43.68

Maximum drawdown, backtest period (backtest)

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-17.36%

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

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-9.25%

Sharpe ratio, backtest period (backtest)

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3.88

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

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3.19

Sortino ratio, backtest period (backtest)

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7.91

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

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5.95

Standard deviation, backtest period (backtest)

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48.88%

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

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56.25%

Quality

Community review status

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ACTIVE

Holdings

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

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0.43

Construction

Logic complexity (node count)

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6,017

Rebalance corridor width

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5.00%

Rebalance frequency

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none

Rebalancing (methodology text)

Automatic

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Popularity

Remixes (copies)

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293

Watchers

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118

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