Side-by-side comparison

Compare investment strategies

D.E. Shaw Style Tech/Semis with Bond and Energy Sleeves 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)

bonds, commodities, dip-buying, energy, leveraged etfs, momentum, tactical trend-following, tech-heavy, volatility hedging

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)

0.07

—

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

0.70

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

19.51

—

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

18.12

—

Daily win rate, backtest period (backtest)

59.76%

—

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

59.37%

—

Backtest

Backtest final value (from $10,000)

$483k

—

Backtest regulatory fees

$862

—

Backtest slippage cost

$6,405

—

Returns

Backtest length

2,853

—

Out-of-sample length

662

—

Return, backtest period (annualized) (backtest)

40.83%

—

Return, backtest period (cumulative) (backtest)

4729%

—

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

22.15%

67.14%

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

69.28%

4.80%

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

0.14%

—

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

0.50%

4.80%

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

0.55%

—

Return, trailing 1 year (backtest)

23.83%

—

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

23.83%

0.00%

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

0.02%

—

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

6.44%

0.00%

SPY annualized return over the backtest window (backtest)

14.17%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.90

—

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

1.57

53.07

Maximum drawdown, backtest period (backtest)

-14.06%

—

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

-14.06%

-1.27%

Sharpe ratio, backtest period (backtest)

2.51

—

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

1.45

4.69

Sortino ratio, backtest period (backtest)

5.61

—

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

2.71

—

Standard deviation, backtest period (backtest)

14.01%

—

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

14.51%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.38

—

Construction

Logic complexity (node count)

2,979

—

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