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El Dorado Leveraged Stocks, Bonds and Volatility Rotation 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)

bond trend filter, daily rebalanced, global rotation, leveraged etfs, momentum and mean reversion, volatility hedge

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)

0.16

—

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

1.56

—

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

0.62

—

Trading activity

Annualized turnover, backtest period (backtest)

86.93

—

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

81.20

—

Daily win rate, backtest period (backtest)

57.73%

—

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

53.41%

—

Backtest

Backtest final value (from $10,000)

$2.2M

—

Backtest regulatory fees

$10k

—

Backtest slippage cost

$79k

—

Returns

Backtest length

1,152

—

Out-of-sample length

440

—

Return, backtest period (annualized) (backtest)

225.60%

—

Return, backtest period (cumulative) (backtest)

22k%

—

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

43.35%

3.62%

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

87.81%

2.81%

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

-0.97%

—

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

2.28%

0.34%

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

-0.32%

—

Return, trailing 1 year (backtest)

28.07%

—

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

28.06%

86.44%

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

-0.45%

—

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

-4.16%

0.95%

SPY annualized return over the backtest window (backtest)

16.27%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.20

—

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

1.23

331.36

Maximum drawdown, backtest period (backtest)

-43.38%

—

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

-35.14%

-0.01%

Sharpe ratio, backtest period (backtest)

3.05

—

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

1.06

18.06

Sortino ratio, backtest period (backtest)

5.61

—

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

1.68

—

Standard deviation, backtest period (backtest)

41.65%

—

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

42.60%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.30

—

Construction

Logic complexity (node count)

2,193

—

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