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Dragon-Style All-Weather Rotation with Crash Hedges vs Oil, Gas, Semis and Treasuries Short-Term Pair 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)

all-weather, crash protection, leveraged etfs, long-volatility, momentum, multi-asset, risk-parity, tactical allocation, tail-risk, trend-following

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)

0.04

—

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

0.65

—

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

0.72

—

Trading activity

Annualized turnover, backtest period (backtest)

26.05

—

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

27.69

—

Daily win rate, backtest period (backtest)

58.48%

—

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

55.57%

—

Backtest

Backtest final value (from $10,000)

$369k

—

Backtest regulatory fees

$1,142

—

Backtest slippage cost

$8,406

—

Returns

Backtest length

3,220

—

Out-of-sample length

880

—

Return, backtest period (annualized) (backtest)

32.63%

—

Return, backtest period (cumulative) (backtest)

3593%

—

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

18.46%

261.52%

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

80.83%

6.85%

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

0.55%

—

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

0.24%

1.95%

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

0.92%

—

Return, trailing 1 year (backtest)

3.59%

—

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

3.59%

0.00%

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

0.29%

—

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

1.24%

6.14%

SPY annualized return over the backtest window (backtest)

13.99%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.52

—

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

1.48

376.45

Maximum drawdown, backtest period (backtest)

-12.93%

—

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

-12.50%

-0.69%

Sharpe ratio, backtest period (backtest)

2.28

—

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

1.34

7.79

Sortino ratio, backtest period (backtest)

3.56

—

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

1.93

—

Standard deviation, backtest period (backtest)

12.76%

—

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

13.27%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.15

—

Construction

Logic complexity (node count)

331

—

Rebalance corridor width

2.00%

—

Rebalance frequency

none

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