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D.E. Shaw Style 3x Stock Allocator with Cash and Hedges vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

etf rotation, leveraged etfs, mean reversion, regime switching, risk parity, tactical allocation, trend following, volatility hedging

leveraged etfs, macro regime, mean-reversion, 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)

0.60

—

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

0.68

—

Trading activity

Annualized turnover, backtest period (backtest)

14.75

—

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

14.34

—

Daily win rate, backtest period (backtest)

59.45%

—

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

58.63%

—

Backtest

Backtest final value (from $10,000)

$275k

—

Backtest regulatory fees

$490

—

Backtest slippage cost

$3,423

—

Returns

Backtest length

3,302

—

Out-of-sample length

672

—

Return, backtest period (annualized) (backtest)

28.77%

—

Return, backtest period (cumulative) (backtest)

2651%

—

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

21.45%

3.62%

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

68.04%

2.81%

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

0.16%

—

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

0.55%

0.34%

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

0.59%

—

Return, trailing 1 year (backtest)

14.43%

—

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

14.43%

86.44%

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

0.28%

—

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

6.44%

0.95%

SPY annualized return over the backtest window (backtest)

14.44%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.45

—

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

1.83

331.36

Maximum drawdown, backtest period (backtest)

-11.74%

—

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

-11.74%

-0.01%

Sharpe ratio, backtest period (backtest)

2.12

—

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

1.46

18.06

Sortino ratio, backtest period (backtest)

4.90

—

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

2.94

—

Standard deviation, backtest period (backtest)

12.29%

—

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

13.95%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.18

—

Construction

Logic complexity (node count)

1,723

—

Rebalance corridor width

1.00%

9.00%

Rebalance frequency

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