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Early Trend Rotation with RSI Heat and Volatility Flip 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)

daily, leveraged etfs, mean-reversion, multi-strategy, risk-on/risk-off, tactical, trend-following, volatility timing

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)

0.25

—

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

2.04

—

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

0.64

—

Trading activity

Annualized turnover, backtest period (backtest)

66.69

—

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

60.61

—

Daily win rate, backtest period (backtest)

55.51%

—

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

55.03%

—

Backtest

Backtest final value (from $10,000)

$2.6M

—

Backtest regulatory fees

$6,469

—

Backtest slippage cost

$51k

—

Returns

Backtest length

1,126

—

Out-of-sample length

527

—

Return, backtest period (annualized) (backtest)

247.24%

—

Return, backtest period (cumulative) (backtest)

26k%

—

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

65.62%

3.62%

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

187.81%

2.81%

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

1.49%

—

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

12.90%

0.34%

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

0.51%

—

Return, trailing 1 year (backtest)

42.47%

—

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

42.47%

86.44%

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

2.29%

—

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

25.47%

0.95%

SPY annualized return over the backtest window (backtest)

14.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.81

—

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

2.07

331.36

Maximum drawdown, backtest period (backtest)

-31.64%

—

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

-31.64%

-0.01%

Sharpe ratio, backtest period (backtest)

2.54

—

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

1.23

18.06

Sortino ratio, backtest period (backtest)

4.51

—

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

1.94

—

Standard deviation, backtest period (backtest)

54.84%

—

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

51.46%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.76

—

Construction

Logic complexity (node count)

886

—

Rebalance corridor width

—

9.00%

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