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D.E. Shaw Style Tech Trend with Treasury and Energy Timing vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

Every published figureShow 42 attributes

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

Classification

AI categories (Composer)

cash/t-bills, commodities, energy, leveraged etfs, mean-reversion, multi-strategy, tactical, tech/semis, treasuries, trend-following, volatility hedge

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

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)

0.72

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

19.17

—

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

17.79

—

Daily win rate, backtest period (backtest)

59.48%

—

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

57.32%

—

Backtest

Backtest final value (from $10,000)

$511k

—

Backtest regulatory fees

$893

—

Backtest slippage cost

$6,676

—

Returns

Backtest length

2,853

—

Out-of-sample length

663

—

Return, backtest period (annualized) (backtest)

41.52%

—

Return, backtest period (cumulative) (backtest)

5005%

—

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

21.45%

261.52%

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

66.86%

6.85%

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

0.13%

—

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

0.43%

1.95%

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

0.44%

—

Return, trailing 1 year (backtest)

22.12%

—

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

22.12%

0.00%

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

-0.14%

—

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

5.76%

6.14%

SPY annualized return over the backtest window (backtest)

14.17%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.94

—

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

1.52

376.45

Maximum drawdown, backtest period (backtest)

-14.12%

—

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

-14.12%

-0.69%

Sharpe ratio, backtest period (backtest)

2.50

—

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

1.39

7.79

Sortino ratio, backtest period (backtest)

5.69

—

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

2.63

—

Standard deviation, backtest period (backtest)

14.29%

—

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

14.80%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.40

—

Construction

Logic complexity (node count)

2,945

—

Rebalance frequency

daily

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